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# modified-duration

1. ### Calculation of macaulay duration and Modified duration

Hi, I am confused on the difference in how John Hull (John Hull Example 4.6) and Tuckman (Tuckman Table 4.6) calculates their Macaulay duration in order to determine the modified duration. In John Hull's example, he uses continuous compounding to determine present value of the cash flows and...
2. ### YouTube T4-36: Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac)

Macaulay duration is the bond's weighted average maturity (where the weights are each cash flow's present value as a percent of the bond's price; in this example, the bond's Macaulay duration is 2.8543 years. Modified duration is the true (best) measure of interest rate risk; in this example...
3. ### YouTube T4-35: Fixed Income: Modified and Macaulay Duration

Using my rebuild of Bruce Tuckman's Table 4-6, this video illustrates the calculation of Macaulay and modified duration. Macaulay duration is the bond's weighted average maturity. Modified duration is the best measure of the bond's interest rate risk.
4. ### Hull, Instructional video , ch4 -Duration

Dear David, Thanks a lot for video lectures they are much inspiring Still I was little bit confused with all these different names duration, modified duration, Macauly duration,.. etc...I will shortly examine mine view of this and kindly ask you to comment ( but without laughing:)) According to...
5. ### Derivation of modified duration formula for par bond

In which study guide or video can i find the derivation of the formula of modified duration of par bond? I understand MD formula for par bond is: MD=[1-(1+y)˄-maturity] / y But still searching for derivation..
6. ### P1.T3.714. Duration, modified duration and dollar duration (Hull Chapter 4)

Learning objectives: Calculate the duration, modified duration, and dollar duration of a bond. Evaluate the limitations of duration and explain how convexity addresses some of them. Questions 714.1. A very risky two-year bond with a face value of \$100.00 pays a semi-annual coupon of 18.0% and...