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Fixed Income: Effective duration (FRM T4-34)
Effective duration approximates modified duration. Both express interest rate sensitivity: an effective (or modified) duration of 6.2 years tells us to expect a 0.620% price change if the yield changes by 10 basis points; i.e., 0.10% ∆y * 6.2 years = 0.620% ∆P. Effective duration is given by -1/P * [P(+∆y) - P(-∆y)]/(2*∆y) where ∆y ...
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