The formula used to calculate a bond's modified duration is the Macaulay duration of the bond divided by 1 plus the bond's yield to maturity divided by the number of coupon periods per year. In Excel, the formula used to calculate a bond's modified duration is built into the MDURATION function.
How to Calculate Macaulay Duration in Excel - Investopedia
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To find the modified duration, all an investor needs to do is take the Macaulay duration and divide it by 1 + (yield-to-maturity / number of coupon periods per year). In this example that calculation would be 2.753 / (1.05 / 1), or 2.62%.
Modified Duration Definition - Investopedia
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The Excel DURATION function returns the annual duration of a security with periodic interest payments, calculated with the Macauley duration formula.
How to use the Excel DURATION function | Exceljet
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The formula to calculate the percentage change in the price of the bond is the change in yield multiplied by the negative value of the modified duration multiplied by 100%. This resulting percentage change in the bond, for an interest rate increase from 8% to 9%, is calculated to be -4.62% (0.01* - 4.62* 100%).
Macaulay Duration vs. Modified Duration: What's the Difference?
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