[...]is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Answer
modified duration
Tags
#bonds #duration #finance
Question
[...]is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Answer
?
Tags
#bonds #duration #finance
Question
[...]is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Answer
modified duration
If you want to change selection, open original toplevel document below and click on "Move attachment"
Parent (intermediate) annotation
Open it modified duration is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Original toplevel document
Bond duration - Wikipedia, the free encyclopedia t should be remembered that, even though Macaulay duration and modified duration are closely related, they are conceptually distinct. Macaulay duration is a weighted average time until repayment (measured in units of time such as years) while <span>modified duration is a price sensitivity measure when the price is treated as a function of yield, the percentage change in price with respect to yield.
Units[edit]
For modified duration the common units are the percent change in price per one percentage point change in yield per year (for example yield going from 8% per year (y = 0.08)
Summary
status
not learned
measured difficulty
37% [default]
last interval [days]
repetition number in this series
0
memorised on
scheduled repetition
scheduled repetition interval
last repetition or drill
Details
No repetitions
Discussion
Do you want to join discussion? Click here to log in or create user.