Duration Approximation Lab

Compare exact bond price changes to the duration-only approximation

\(\frac{\Delta P}{P}\approx -D_{mod}\Delta y\)

Coupon rate 5.0%

Yield to maturity 6.0%

Maturity 12y

Shock range shown 300 bps

Selected shock +100 bps

Coupon payments per year

Modified duration

Exact change at selected shock

Duration-only change

Duration-only error
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