Modified Duration

外汇网2021-06-19 20:57:54 156

A formula that expsses 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 year

YTM = 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.

标签：

number

Calculated

rates

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Modified Duration

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