modified duration is independent of price.

为什么独立于价格？

Modified Duration = (Duration)/(1+Yield/m), where m is the freqency of coupon payment per year

The modified Duration is consistant with the duration when the coupon payment is continuously compounded. And then, we can have the simple relationship:

dB=-B*MD*dy, where y is the yield



I think it can be regarded as the discounted duration to easy to remember.


3# daggerczd