formula for money duration

What is the formula for money duration?

I’ve seen 2 different ways CFAI calculates it.

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PVBP = \$\$\$ x .0001 x MD

IT doesnt matter if you use .01 or .0001, as long as it is consistent in your calculations and consistent with the problem.

I saw a variation where they said

money duration = annualized modified duration * market value

so the .01 or whatever doesn’t matter?

foshizzle wrote:

I saw a variation where they said

money duration = annualized modified duration * market value

so the .01 or whatever doesn’t matter?

no sir it matters very much. 1BP = 0.01% = 0.0001. when calculating money duration (PVBP of entire portfolio), it is essential that you multiply the .01% to assess the change in value of the portfolio in case of a 1BP shift in yields.

I find this to be quite confusing.

In the mock AM 2018 they have one problem where the guideline answer state: Money duration = modified duration × market value

But shouldn’t dollar duration be (Modified duration x Market value) ÷ 100 ? The value displays how much the value change per 1 percentage change. Then to calculate BPV, you take dollar duration / 100 as there are 100 BPV for each percentage.

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