Equation for Number of contracts with respect to duration

I see the formula mentions Modified Duration.

Is it always Modified Duration or it is interchangable with other notion of Durations?


Whatever the duration measure, it’ll be the same for your portfolio and the futures contracts, so it doesn’t matter whether it’s modified or effective.

However, they generally specify modified duration.

In my article on adjusting the value or duration of a fixed income portfolio, I specifically mention modified or effective duration: http://financialexamhelp123.com/adjusting-the-valueduration-of-a-fixed-income-portfolio-using-bond-futures/