Dollar duration

Dollar duration

The product of modified duration and the initial price.
References in periodicals archive ?
Are you more concerned about your equity weight and swap proceeds (impact on long-term returns), or your hedge in dollar duration terms, or your hedge as a percent of liability, or some metric like '1 in 20 worst case dollar impact on plan sponsor', or what?" While Vivian freely admits that there is no obvious right answer, he asserts, "You need to have thought out what you would do in this situation, what your consultants would have you do, and what your Board would have you do, and discuss, resolve, and document it all, well in advance."
To further demonstrate the validity of the above results, the effective dollar duration (EDD) is calculated.
(31) We also calculated the modified dollar durations of reserves and found term structures similar to Figure 5.