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Modified duration

Macaulay duration divided by one plus the yield per period; the approximate percentage price change for a 1% move in yield.

Modified duration = Macaulay duration / (1 + y/k), where y is the yield and k the number of coupons per year. The adjustment turns a time measure into a price-sensitivity measure.

It is a first-order approximation, meaning it assumes the price-yield line is straight. For small moves that is fine. For large moves it overstates losses and understates gains, and you need convexity to correct it.

Example: Macaulay duration 2.86 years, yield 5% paid annually. Modified duration is 2.86 / 1.05 = 2.72. A 50 basis point rise in yields costs roughly 2.72 x 0.5 = 1.36% of the bond's price.

Related: macaulay-duration, duration, convexity, dv01, bond-price-yield-relationship

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