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Definition of Modified duration
The ratio of Macaulay duration to (1 + y), where y = the bond yield. modified duration is
The Macaulay duration discounted by the per-period
The product of modified duration and the initial price.
A common gauge of the price sensitivity of an asset or portfolio to a change in interest rates.
The duration calculated using the approximate duration formula for a bond with an
Agency pass-throughs that guarantee the timely payment of both interest and
The weighted-average term to maturity of the cash flows from the bond, where the
Agency pass-throughs that guarantee (1) timely interest payments and (2) principal
A modification of standard duration to account for the impact on duration of MBSs of
A situation in which the price of the MBS moves in the same direction as interest rates.
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).
The weighted average of the time until maturity of each of the
the method of cost assignment that uses FIFO to compute a cost per
The expected life of a fixed-income security considering its coupon
A widely used measure of price sensitivity to yield
Depreciation method that allows higher tax deductions in early years and lower deductions later.
The time it takes for a policy or annuity to reach maturity.
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