interactive
Modified Duration and PV01
Updated Dec 10, 2024
What you'll learn
- We look at the differences between duration, Macaulay duration and modified duration. The derivation of modified derivation is explored and how it the formula is used. Finally we see why duration estimates have their limitations.
Course Description
Modified duration (DM) is a measurement of a bond's dirty price sensitivity given a 1% change in yields. We look at the differences between duration, Macaulay duration and modified duration. The derivation of modified derivation is explored and how it the formula is used. Finally we see why duration estimates have their limitations.
