Examples of 'modified duration' in a sentence
Meaning of "modified duration"
modified duration - a measure of the sensitivity of a bond's price to changes in interest rates
How to use "modified duration" in a sentence
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modified duration
It shall do so on the basis of the modified duration of each instrument.
Modified duration measures the size of the interest rate sensitivity.
Delta equivalent in notional value multiplied by the modified duration.
Modified duration applies when a bond or other asset is considered as a function of yield.
The interest rate risk is generally defined by modified duration.
The target modified duration of the fund is between six and eight years.
The main measures of market risk observed are modified duration and Value at Risk.
Modified duration follows the concept that interest rates and bond prices move in opposite directions.
Duration To Worst is the weighted average modified duration of bonds in portfolio.
Modified Duration is used more than duration.
Macaulay takes years to measure while Modified Duration focuses more on the yields.
Modified Duration cover a wider range of application than duration.
Macaulay duration is measured in years, whereas modified duration is an absolute figure.
Modified Duration may be obtained by making an adjustment to Macaulay Duration.
To take an analogy with bonds, its duration and modified duration are higher.
See also
The target modified duration of this fund 's investments is between two and four.
The sum of an instrument 's key rate durations is approximately equal to its modified duration.
Modified duration is a rate of change, the percent change in price per change in yield.
Interest rate risk ( Sensitivity of equity to interest rate changes ) Modified duration.
Modified duration shall be calculated using the formula set out in paragraph 26 oà Annex I.
This gives the well-known relation between Macaulay duration and modified duration quoted above.
Modified duration shall be calculated using the formula set out in paragraph 26 of Annex I.
Health mortality risk - Modified duration.
Computing Modified Duration ( DUR ) To compute modified duration, press until the DUR variable appears.
Health longevity risk - Modified duration.
The definition of duration and its two main types, Macaulay duration and Modified Duration.
Compared to Macaulay Duration, Modified Duration is used more and often.
There are two popular duration metrics, Macaulay Duration and Modified Duration.
It shall do so on the basis of the modified duration of each instrument. Table 3.
That is why duration is classified into two, Macaulay Duration and Modified Duration.
Spread risk (bonds and loans) - Modified duration - by credit quality step.
For an 8 % yield to maturity, compute the bond 's price, accrued interest, and modified duration.
Spread risk (bonds and loans) - Modified duration - No rating available.
Health disability-morbidity risk (medical expense) - Modified duration.
Life expense risk - Modified duration.
Health disability - morbidity risk (medical expense) - Modified duration.
Health expense risk - Modified duration.
Health disability - morbidity risk (income protection) - Modified duration.
The computation finally shows that the Modified Duration is equal to 5.22.
Health disability-morbidity risk (income protection) - Modified duration.
Disability - morbidity risk - Modified duration.
Disability-morbidity risk - Modified duration.
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