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• Modified Duration in Semi-Annual periods converted to Annual Periods? - Fixed Income - AnalystForum

Modified Duration in Semi-Annual periods converted to Annual Periods? - Fixed Income - AnalystForum

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Why is it that to convert a Semi-Annual Modified Duration to an Annual one, we divide by 2 instead of multiplying by 2? Surely it doesn’t imply that the bond price will move more in half a year than in one full year when interest rates shift?

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