Modified Duration Calculator
Modified Duration Calculator
Component | Description |
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Duration | The weighted average time until a bond’s cash flows are received. |
Yield to Maturity | The total return anticipated on a bond if held until it matures. |
Modified Duration | A measure of a bond’s price sensitivity to changes in interest rates. |
Formula | Modified Duration = Duration / (1 + (Yield to Maturity / Number of Coupon Payments per Year)) |
Purpose | Used to assess the interest rate risk of a bond or bond portfolio. |