why it 's noted as annualized but sounds like semi-annual data?? My understanding is cash flow yield is annualized by default so divide it by two to make it not annualized?
If you go back to your Level I Fixed Income, you’ll recall that the formula modified duration is:
Dur_{Mod} = \frac{Dur_{Mac}}{1 + YTM}
where YTM is the yield to maturity for one coupon period (which is noted on the page just before the one you posted, above). If you look at Exhibit 5 you’ll see that these are semiannual-pay bonds.
thx for the post! btw it doesnt make sense to me because normally YTM is annualized, in the example, the return used in the denominator is half year term’s, i would say it’s cash flow yield instead of ytm or IRR…
so back to my question, if the return is not annual, can we say its calculated DurMod is annual?? or it’s annualized because the numerator DurMac is annualized regardless of the yield’s term?