The discount rate for calculating the present value of the cash flows is the bond's yield. So as a bond's price and yield change, so does its duration. For example, a

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But there is a difference in the denominator for calculation of both. The modified duration can be called a yield duration, while effective duration is a curve duration. This is so because the former is calculated using its own YTM, and the latter takes the market curve as a basis for If you consider a fixed-rate bond then IR-duration and spread-duration have the same effect on the bond. For a floating-rate bond, on the other side, you have IR-risk only until the next reset of the floating rate and thus very small IR-duration.

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Modified duration is a slightly more involved calculation that takes into account the effects of interest-rate movements. Effective duration is another, still-more complicated measure used to

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For debt instruments and for payment legs, the size of the risk position is the effective notional value of the outstanding gross payments (including the notional

If you have three bonds with maturities of 12, 14 and 20 years This video discusses the concept of Macaulay Duration. The video uses a comprehensive example to demonstrate how Macaulay Duration is calculated, and it exp Introduction to Effective Duration.

The Macaulay duration calculates the weighted average time before a bondholder would receive the bond Effective duration is a duration calculation for bonds that have embedded options. Cash flows are uncertain in bonds with embedded options, making it difficult to know the rate of return. Macaulay duration, modified duration and effective duration are three types of duration calculations. Investors will more than likely run across effective duration numbers.
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Figure 9. Soures of noise associated with pile driving, modified from Massarsch and Fellenius (2008).

Modified duration takes Macaulay's duration one step further, adjusting it to express a bond's sensitivity to changes in interest rates.
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Found this explanation online: "An alternative measure of duration – known as “ option-adjusted duration” or “effective duration” – takes into …

For example, a Duration. ▫ Buzzwords. ▫ Parallel shift. ▫ Basis points.

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Effective duration approximates modified duration. But there is a difference in the denominator for calculation of both. The modified duration can be called a yield duration, while effective duration is a curve duration. This is so because the former is calculated using its own YTM, and the latter takes the market curve as a basis for

Average Duration vs Maturity. The average maturity of a bond portfolio equals the weighted average maturities of all the bonds in it. If you have three bonds with maturities of 12, 14 and 20 years This video discusses the concept of Macaulay Duration.