Modified Duration
网友投稿• 2022-01-05 15:55:29 •阅读75
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 periods per yearYTM = the bond's yield to maturity |||Modified duration follows the concept that interest rates and bond prices move in opposite directions. This formula is used to determine the effect that a 100-basis-point (1%) change in interest rates will have on the price of a bond.
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