A measure of the price sensitivity of a bond to interest rate movements. Equal to the Macaulay Duration divided by (1+ (bond yield/k)) where k is the number of compounding periods per year. It is therefore inversely proportional to the approximate percentage change in price for a given change in yield. This is one of two ways to calculate duration, the other being Macaulay duration.
Related information about modified duration:
- Modified Duration Definition | Investopedia
A formula that expresses the measurable change in the value of a security in response to a change in interest rates. Calculated as:Where:n = number of coupon ...
- Modified Duration Calculator | Investopedia
Modified Duration Calculator - A formula that expresses the measurable change in the value of a security in response to a change in interest rates.
- Advanced Bond Concepts: Duration | Investopedia
The four types of durations are Macaulay duration, modified duration, effective ... Modified duration is a modified version of the Macaulay model that accounts for ...
- Bond duration - Wikipedia, the free encyclopedia
Modified duration, on the other hand, is a derivative (rate of change) or price sensitivity and measures the percentage rate of change of price with respect to yield ...
- Modified Duration - Financial Dictionary - The Free Dictionary
Modified Duration. Also found in: Wikipedia, 0.03 sec. Modified duration. The ratio of Macaulay duration divided by (1 + y), where y = the bond yield. Modified ...
- Duration Basics
Jan 1, 2007 ... refines the modified duration calculation and ... Macaulay or modified duration) versus purchas- ... As shown in Figure 3, modified duration is ...
- Modified duration
The modified duration is a measure of the sensitivity of a bond price to interest rates: Modified duration = D ÷ (1+r). where D is the duration and r is the interest ...
- Duration
Modified duration is a measure of the price sensitivity of a bond to interest rate ... Modified Duration = Macaulay Duration /( 1 + y/n), where y = yield to maturity ...