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Modified duration |
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Definition of Modified durationModified durationThe ratio of Macaulay duration to (1 + y), where y = the bond yield. modified duration is Modified durationThe Macaulay duration discounted by the per-period
Related Terms:Dollar durationThe product of modified duration and the initial price. DurationA common gauge of the price sensitivity of an asset or portfolio to a change in interest rates. Effective durationThe duration calculated using the approximate duration formula for a bond with an Fully modified pass-throughsAgency pass-throughs that guarantee the timely payment of both interest and Macaulay durationThe weighted-average term to maturity of the cash flows from the bond, where the Modified pass-throughsAgency pass-throughs that guarantee (1) timely interest payments and (2) principal Mortgage durationA modification of standard duration to account for the impact on duration of MBSs of Negative durationA situation in which the price of the MBS moves in the same direction as interest rates. MACRS (Modified Accelerated Cost Recovery System)A depreciation method created by the IRS under the Tax Reform Act of 1986. Companies must use it to depreciate all plant and equipment assets installed after December 31, 1986 (for tax purposes). DurationThe weighted average of the time until maturity of each of the modified FIFO method (of process costing)the method of cost assignment that uses FIFO to compute a cost per DurationThe expected life of a fixed-income security considering its coupon Macaulay durationA widely used measure of price sensitivity to yield Modified Accelerated Cost Recovery System (MACRS)Depreciation method that allows higher tax deductions in early years and lower deductions later. DurationThe time it takes for a policy or annuity to reach maturity.
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