Fixed income instrument

chandniwadhwani92
Finance Junkie
Posts: 166
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Fixed income instrument

Postby chandniwadhwani92 » Tue Oct 07, 2014 3:23 pm

Difference between modified amnd nacmacaulay duration

edupristine
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Fixed income instrument

Postby edupristine » Fri Oct 10, 2014 5:25 am

Duration or Macaulay Duration refers to measurement of weighted average time before repayment or the time when cash flow is received.
On the other hand, Modified Duration is about the percentage change in price for a unit change in yield, it also refers to the price sensitivity.
1) Compared to Macaulay Duration, Modified Duration is used more and often.

2) Macaulay Duration is measured in years while Modified Duration focuses more on the yields


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