Modified Duration Analytic
From Open Risk Manual
Definition
Modified Duration Analytic. The percentage price change of a security for a given change in yield. The higher the modified duration of a security, the higher its risk. Ad/ModDuration = [duration / {1 + (IRR/M)}]; where IRR is the internal rate of return and M is the number of compounding periods per year.
The higher the MD the greater the change in price for a given change in yield.
Disclaimer
This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.
Facts about "Modified Duration Analytic"
| IsDefinedBy URI of an entity that is defined via an imported vocabulary. | https://spec.edmcouncil.org/fibo/ontology/MD/DebtTemporal/DebtAnalytics/index-en.html + |
