Modified duration

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:
Money Market ...

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.
Money center banks ...

modified duration
Duration adjusted to price and yield levels to represent percent change relationship of price and yield.
monetary default ...

Modified duration
In case of n times compounded yield, the relation
is not valid anymore. That is why the modified duration D * is used instead: ...

[edit] Modified duration
In contrast to Macaulay duration, modified duration (sometimes abbreviated DM) is a price sensitivity measure, defined as the percentage derivative of price with respect to yield: ...

Modified duration is a measure of Macaulay duration, which was named for Frederick Macaulay.

Modified Duration - A measure of the sensitivity of a bond's price to changes in yields, shown as a number of years to maturity. The modified duration is calculated as the Macaulay duration divided by 1, plus the periodic yield.

Macaulay Duration is an overestimate, and Modified Duration (q.v.) is a more precise measure. 2. The weighted average of time until a financial instrument pays its cash flows.

modified duration Modified Duration is a formula used to express the measurable change in a securities'... modified pass-through A pass-through that promises timely interest payments, and principal payments...

Modified duration
Modified pass-throughs
Modigliani and Miller Proposition I
Modigliani and Miller Proposition II
Momentum indicators
MONEP (Marche des Options Negociables de Paris)
Monetarist
Monetary assets and liabilities
Monetary gold ...

A bond's modified duration, a figure derived from several factors, measures this risk and tells the investor how its price is likely to change when market interest rates go up or down.

Dollar duration
The product of modified duration and the initial price.
Dollar price of a bond
Percentage of face value at which a bond is quoted.

See also: Duration, Investment, Interest, Yield, Securities