This interpretation is what makes modified duration a useful concept for investors—instead of cash flow recovery (few investors hold a long-term bond to full maturity), it focuses on change in profit/loss (P/L) for a change in rates.
- Chapter 2: Bonds
- from Interest Rate Markets: A Practical Approach to Fixed Income
- Publisher: John Wiley & Sons
- Released: April 2011
modified duration calculates change in P/L wrt change in yield.