* Modified duration
of AFS investments as on June 30, 2019 was 1.30.
* Level 2: incorporates measures of variability such as duration, modified duration
, duration of Fisher-Weil and convexity.
Finally, Takach explains how duration and modified duration
can be used to gauge the level of interest rate risk inherent in the farm sector's balance sheet.
Fixed maturities represented approximately 88.2% of total investments at March 31, 2016 with a modified duration
of 3.8 years compared to 87.6% at December 31, 2015 and a modified duration
of 3.9 years.
Before investing in a duration fund, one can make a fair estimate of gains by looking at the modified duration
and yield-to-maturity (YTM).
It combines EDI's fixed income and pricing data with algorithm apps from The Beast Apps, a provider of a cloud based Financial App Store offering access to data, analytics, risk and valuation services, to generate an initial set of 11 fixed income derived data fields such as Yield to Maturity, Modified Duration
, Effective Duration and Convexity.
The modified duration
of UCO's AFS investment portfolio is relatively high at around four times as on Dec-10 and will impact its profitability in a rising interest rate scenario.
We employ both effective duration and modified duration
as the measures of interest rate sensitivity in this study.
approximates the percentage change in the price of a bond for a given change in interest rates, and is calculated as follows:
(Distinctions are usually made clearly, except that most of the references to duration in the book are, in fact, references to modified duration
. Both are defined there.) Various securities are illustrated mainly through the use of worksheets that should be easy to reproduce with electronic worksheets.
In practical terms, modified duration
is used as a measure of the price sensitivity of an instrument, given a change in interest rates.
"A simple and potentially inadequate approximation of interest rate risk exposure results from the use of a technique called 'modified duration
.' This technique is used to gauge the changes in the value of an asset or portfolio of assets that occur in response to a parallel shift in interest rates.