Ad
related to: modified duration excel
Search results
Results from the WOW.Com Content Network
Modified duration is the name given to the price sensitivity. It is (-1) times the rate of change in the price of a bond as a function of the change in its yield. [4]
The modified Dietz method [1] [2] [3] is a measure of the ex post (i.e. historical) performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the ...
For premium support please call: 800-290-4726 more ways to reach us
The modified duration of a bond assumes that cash flows do not change in response to movements in the term structure, which is not the case for an MBS. For instance, when rates fall, the rate of prepayments will probably rise and the duration of the MBS will also fall, which is entirely the opposite behavior to a vanilla bond.
The price sensitivity of a stock versus duration, often called modified duration, is the percentage change in price in response to a 1% change in the long-term return that the stock is priced to deliver. The modified duration is duration divided by (1 + growth rate).
Consider asking your creditor for a modified due date, reduced interest rate or a payment plan (if you’re experiencing long-term financial difficulty). Your issuer may not honor your request ...
This is equal to the Macaulay duration times the discount rate, or the modified duration times the interest rate. If the elasticity is below -1, or above 1 if the absolute value is used, the product of the two measures, value times yield or the interest income for the period will go down when the yield goes up.
U.S. data-center power demand could nearly triple in the next three years, and consume as much as 12% of the country's electricity, as the industry undergoes an artificial-intelligence ...
Ad
related to: modified duration excel