Modified duration - Revision history

imported>Doug Williamson: Categorise.

2018-02-22T12:29:17Z

Categorise.

← Older revision		Revision as of 12:29, 22 February 2018
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	* [[Semi-annual rate]]		* [[Semi-annual rate]]
	* [[Volatility]]		* [[Volatility]]

			[[Category:Financial_management]]
			[[Category:Corporate_finance]]

2016-11-16T14:05:55Z

Removed link

2016-01-15T20:18:52Z

Spacing.

← Older revision		Revision as of 20:18, 15 January 2016
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	MD = Duration / ( 1 + EAR )		MD = Duration / (1 + EAR)


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	MD = Duration / ( 1 + ( R / n ) )		MD = Duration / (1 + (R / n) )

	where n = number of compounding periods per year.		where n = number of compounding periods per year.

2015-12-04T14:18:13Z

Standardise example titles

← Older revision		Revision as of 14:18, 4 December 2015
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	<span style="color:#4B0082">'''Example'''</span>		<span style="color:#4B0082">'''Example: Modified duration calculations'''</span>

	Duration = 5.00 years.		Duration = 5.00 years.
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	With respect to the EAR:		(i) With respect to the EAR:

	MD = 5.00 / 1.0609		MD = 5.00 / 1.0609
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	With respect to the Semiannual yield:		(ii) With respect to the Semiannual yield:

	MD = 5.00 / 1.03		MD = 5.00 / 1.03

2015-11-13T14:51:33Z

Colour change of example headers

← Older revision		Revision as of 14:51, 13 November 2015
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	'''Example'''		<span style="color:#4B0082">'''Example'''</span>

	Duration = 5.00 years.		Duration = 5.00 years.

2015-04-10T21:12:21Z

Tidy up.

← Older revision		Revision as of 21:12, 10 April 2015
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	Modified duration is an estimate of the market price sensitivity of an instrument, to small changes in yield.		Modified duration is an estimate of the market price sensitivity of an instrument, to small changes in yield.

	It is the ~~'proportional~~ price change' of a market instrument or portfolio.		It is the related proportionate price change of a market instrument or portfolio.


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	For changes in simple annual yields 'R', modified duration is calculated as:		For changes in simple nominal annual yields (R), modified duration is calculated as:

2015-04-10T21:09:26Z

Remove not needed quote marks.

← Older revision		Revision as of 21:09, 10 April 2015
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	Often - but not always - the relevant yield is defined as the annual effective yield ('EAR').		Often - but not always - the relevant yield is defined as the annual effective yield (EAR).

	For changes in EAR, modified duration is calculated from Macaulay’s duration as:		For changes in EAR, modified duration is calculated from Macaulay’s duration as:

2015-03-16T16:39:09Z

Standardise appearance of page

← Older revision		Revision as of 16:39, 16 March 2015
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	MD = Duration/[1+EAR]		MD = Duration / ( 1 + EAR )


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	MD = Duration/[1+(R/n)]		MD = Duration / ( 1 + ( R / n ) )

	where n = number of compounding periods per year.		where n = number of compounding periods per year.


	~~For example,~~		'''Example'''

	~~say~~ Duration = 5.00 years,		Duration = 5.00 years.

	Semiannual yield R = 6.00% (so n = 2)		Semiannual yield R = 6.00% (so n = 2)
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	With respect to the EAR:		With respect to the EAR:

	MD = 5.00/1.0609		MD = 5.00 / 1.0609

	= 4.71		= 4.71
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	With respect to the Semiannual yield:		With respect to the Semiannual yield:

	MD = 5.00/1.03		MD = 5.00 / 1.03

	= 4.85		= 4.85

2014-11-26T10:24:38Z

Make branding consistent

← Older revision		Revision as of 10:24, 26 November 2014
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	For example, say Duration = 5.00 years, Semiannual yield R = 6.00% (so n = 2) and so EAR = 6.09%.		For example,

			say Duration = 5.00 years,

			Semiannual yield R = 6.00% (so n = 2)

			and so EAR = 6.09%.


	With respect to the EAR:		With respect to the EAR:

	MD = 5.00/1.0609 = 4.71		MD = 5.00/1.0609

			= 4.71


	With respect to the Semiannual yield:		With respect to the Semiannual yield:

	MD = 5.00/1.03 = 4.85		MD = 5.00/1.03

			= 4.85

	This shows that there would be a greater proportionate change in price for a 1% change in the Semiannual yield, than for a 1% change in the EAR.		This shows that there would be a greater proportionate change in price for a 1% change in the Semiannual yield, than for a 1% change in the EAR.

2014-11-01T14:46:35Z

Link with qualifications page.