Modified duration

Modified duration
The ratio of Macaulay duration to (1 + y), where y = the bond yield. Modified duration is inversely related to the approximate percentage change in price for a given change in yield. The New York Times Financial Glossary

Financial and business terms. 2012.

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  • modified duration — Macaulay duration adjusted for compounding. The figure for Macaulay duration is divided by the sum of one plus the rate divided by the number of compounding periods per year. A more accurate measure of the weighted average time remaining until… …   Financial and business terms

  • Modified Duration — 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 year YTM = the bond s yield to maturity Modified duration follows the… …   Investment dictionary

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  • Modified Internal Rate of Return — (MIRR) is a financial measure used to determine the attractiveness of an investment. It is generally used as part of a capital budgeting process to rank various alternative choices. As the name implies, MIRR is a modification of the financial… …   Wikipedia

  • Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • positive duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has positive duration, its price increases in response to a decrease in prevailing market rates.… …   Financial and business terms

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