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Macaulay duration is a weighted average of the times until the cash flows of a fixed-income instrument are received. The concept was introduced by Canadian economist Frederick Macaulay To calculate modified duration, you take the answer above and divide it by the sum of 1 and the bond's yield to maturity. So 1.952 / (1 + 5%) = 1.859. Modified duration is defined above as a derivative (as the term relates to calculus) and so is based on infinitesimal changes.

Weighted Avg Maturity as of Apr 08, Modified duration quantifies the sensitivity by specifying the percentage change in bond price for every 100-bps change in the interest rates. Limitations Although highly used and one of the prominent risk measures for fixed income securities, The duration is restricted for wider use because of underlying assumptions of interest rates movement. Modified duration to worst is the approximate percentage change in a bond’s price for a 100 basis points change in yield. A bond’s duration is computed using the bond’s nearest call date or maturity, whichever comes first. concept of ‘modified duration’ was developed, which offered a more precise calculation of the change in bond prices given varying coupon payment schedules.

Modified duration is an extension of the Macaulay duration Modified Duration to Worst—Yield change calculated to the priced to worst date; generally used to reflect the behavioral characteristics of a bond as of a specific price/yield and date; consistent with industry calculations, always calculated to the priced to worst date, including all call features.

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In the example shown, we want to calculate the modified duration of a bond with an annual coupon rate of 5% and semi-annual payments. The modified duration is a measure of the percentage price change of a bond given a change in its yield to maturity. On the other hand, the money duration of a bond is a measure of the price change in units of the currency a bond is denominated. In the United States, the money duration is commonly called “dollar duration.” duration times the full price.

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This measure ignores future cash flow fluctuations due to embedded optionality. https://scs.fidelity.com/webxpress/help/topics/help_definiti (Ich verstehe immer weniger, von sowas wird mir schwindlig ;) Modified duration is a measure of a bond price sensitivity to changes in its yield to maturity. It is calculated by dividing the Macaulay’s duration of the bond by a factor of (1 + y/m) where y is the annual yield to maturity and m is the total number of coupon payments per period. Modified duration is defined above as a derivative (as the term relates to calculus) and so is based on infinitesimal changes.

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