modified duration การใช้

• Modified duration measures the " size " of the interest rate sensitivity.
• This gives the well-known relation between Macaulay duration and modified duration quoted above.
• Modified duration is a useful measure to compare interest rate sensitivity across the three.
• Per the relationship between Macaulay duration and Modified duration:
• Modified duration is used more often than Macaulay duration.
• Modified duration is a rate of change, the percent change in price per change in yield.
• The sum of an instrument s key rate durations is approximately equal to its modified duration.
• The primary use of duration ( modified duration ) is to measure interest rate sensitivity or exposure.
• Hi, what is the standard or benchmark modified duration ( of an investment portfolio ) for a company?
• Modified duration is a measure of how much a bond's price changes for a small change in interest rates.
• Thus modified duration is approximately equal to the percentage change in price for a given finite change in yield.
• It should be remembered that, even though Macaulay duration and modified duration are closely related, they are conceptually distinct.
• The sum may not be exact because modified duration assumes a flat yield curve, which is seldom the case.
• The annuity has the lowest sensitivity, roughly half that of the zero-coupon bond, with a modified duration of 4.72 %.
• Formally, modified duration is a elasticity, which is a percentage change in output for a " percentage " change in input.
• This will give modified duration a value close to the Macaulay duration ( and equal when rates are continuously compounded ).
• For every-day use, the equality ( or near-equality ) of the values for Macaulay and modified duration can be a useful aid to intuition.
• These are conventionally referred to as the " modified duration " and " convexity " of the security, and are often called risk numbers.
• The BPV will make sense for the interest rate swap ( for which modified duration is not defined ) as well as the three bonds.
• Strictly speaking, Modified duration is the name given to the price sensitivity and is the percentage change in price for a unit change in yield.