Modified Duration

Calculator · CC-BY-4.0

First-order sensitivity of a bond price to a parallel shift in yield.

Details

• category: Fixed Income
• formula: MD = MacD / (1 + y/n) ΔP/P ≈ -MD × Δy
• formula latex: \text{MD} = \dfrac{\text{MacD}}{1 + y/n},\quad \dfrac{\Delta P}{P} \approx -\text{MD}\cdot \Delta y
• related terms: macaulay-duration, modified-duration, convexity, dv01

Formula

MD = MacD / (1 + y/n)
ΔP/P ≈ -MD × Δy