The differnce bet duration and modified duration
Posted: December 17th, 2007, 4:10 am
by boon22
Hello,What are the main differences bet those 2 concepts?
The differnce bet duration and modified duration
Posted: December 17th, 2007, 5:05 am
by amit7ul
duration is pivot's time co-ordinate if PVs of bond's cash flows are arranged on a time bar. or equivalently its the weighted average years of bond's cash flows with weights being PV of cash flows. mod duration is more like sensitivity if term structure shifts parallely by few bps. if you have accesss to fabozzi's book then that would be the best.