Zero coupon bond modified duration, search form
Social Science Research Network. But it has a cash flows out to 10 years and thus will be sensitive to year yields.
Therefore, duration measures the instantaneous or, at least, same-day change in the bond price. Yield to maturity yield is a singe risk factor, rather than a complex description of the spot rate curve. When the price of an asset is considered as a function of yieldduration also measures the price sensitivity to yield, the rate of change of price with respect to yield or the percentage change in price for a parallel shift in yields.
Convexity is a measure of the curvature of how the price of a bond changes as the interest rate changes.