Modified Duration Calculator

Enter the Macauley duration, the yield to maturity, and the number of coupon periods period year to calculate the modified duration.

Modified Duration Formula

The following formula is used to calculate a modified duration.

MD = MCD / (1+ YTM/n)

  • Where MD is the modified duration\
  • MCD is the Macauley duration
  • YTM is the yield to maturity
  • n is the number of periods per year

Modified Duration Definition

A modified duration is defined as the ratio of the change in value of a security with the change in value of the interest rate.


Modified Duration Example

How to calculate a modified duration?

  1. First determine the Macauley Duration.

    Calculate the weighted average term to maturity of the cash flows from a bond.

  2. Next, determine the yield to maturity.

    Calculate the yield to maturity of the given security.

  3. Next, determine the number of coupon period per year.

    As stated, calculate the number of periods per year.

  4. Finally, calculate the modified duration.

    Use the formula and information from steps 1-3 to calculate the modified duration.

FAQ

What is a modified duration?

A modified duration is a measure of the change of the value of a security from the change in it’s interest rates.

What is Macauley duration?

Macauley duration is the weighted average term to maturity of the cash flows from a bond.


modified duration calculator
modified duration formula

Related Terms

modified duration calculator
modified duration formula
how to calculate modified duration
modified duration
duration and modified duration
modified duration excel
modified duration of a bond
modified duration meaning
modified duration formula example
modified duration definition
difference between duration and modified duration
modified duration of zero coupon bond
modified duration example
macaulay duration and modified duration
macaulay duration modified duration
difference between macaulay duration and modified duration
modified macaulay duration
modified duration calculation example
modified duration to worst
modified duration of a portfolio
modified duration in mutual fund
bond price change formula
excel mduration
effective duration and modified duration
difference between effective duration and modified duration
difference between modified and effective duration
duration price change
bond modified duration calculator
average modified duration
modified adjusted duration
modified duration calculator excel
duration macaulay and modified
modified duration price change
definition of modified duration