Yield-Based Bond Duration Measures and Properties
Free CFA Level I lesson in Fixed Income. 12 min read, ~1,859 words.
Modified duration = Macaulay duration / (1 + periodic yield). It estimates the percentage price change for a 1% yield change. Money duration = modified duration × full price. It converts the percentage into dollars at risk. PVBP = money duration × 0.0001. It is the dollar price change for...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- yield-based duration measures
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