How it works
Modified duration = Macaulay duration / (1 + nominal yield/frequency), approximating fractional price sensitivity to yield.
Input definitions
- Macaulay duration (years)
- Enter the value in the labeled unit.
- Annual nominal yield (%)
- Enter the value in the labeled unit.
- Compounding periods per year
- Enter the value in the labeled unit.
A worked example
- Macaulay duration (years)
- 5
- Annual nominal yield (%)
- 4
- Compounding periods per year
- 2
Assumptions & limits
Planning model using the rates, cash flows and periods entered. Examples are illustrative, not market quotes or personalised financial advice. Taxes, inflation and transaction costs are excluded unless explicitly entered.
Sources & review
Maintained by AnsRio. Methods and examples use automated checks; this does not imply independent professional certification.
Method updated 2026-10-18. Content checked against the stated method and examples. Our verification approach.
Common questions
Does duration predict a large yield change exactly?
No. It is a first-order approximation. Convexity and changes in the shape of the yield curve affect larger movements.
How does Bond modified duration price sensitivity work?
Modified duration = Macaulay duration / (1 + nominal yield/frequency), approximating fractional price sensitivity to yield.
What should I check before using Bond modified duration price sensitivity?
Planning model using the rates, cash flows and periods entered. Examples are illustrative, not market quotes or personalised financial advice. Taxes, inflation and transaction costs are excluded unless explicitly entered.