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) to 9% per year (y = 0.09)). This will give modified duration close to the value of [...]
Answer
Macaulay duration (and the same when rates are continuously compounded)
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#bonds #duration #finance
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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) to 9% per year (y = 0.09)). This will give modified duration close to the value of [...]
Answer
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Tags
#bonds #duration #finance
Question
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) to 9% per year (y = 0.09)). This will give modified duration close to the value of [...]
Answer
Macaulay duration (and the same when rates are continuously compounded)
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Open it uration 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) to 9% per year (y = 0.09)). This will give modified duration close to the value of <span>Macaulay duration (and the same when rates are continuously compounded)<span><body><html>
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Bond duration - Wikipedia, the free encyclopedia average time until repayment (measured in units of time such as years) while 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.
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<span>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) to 9% per year (y = 0.09)). This will give modified duration close to the value of Macaulay duration (and the same when rates are continuously compounded).
Formally, modified duration is a semi-elasticity, the percent change in price for a unit change in yield, rather than an elasticity, which is a percentage change in output for a percen
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