PVBP by the modified duration formula
Description of the PVBP by the modified duration formula
Formula for the calculation of a bond's PVBP by it's modified duration.
Formula
\[ PVBP = \frac{P_{g}\cdot D_{mod}}{10000} \ \]
Symbols
\(D_{mod}\ \)
Modified duration
\(P_{g}\ \)
Dirty price