22.11 Yield vols vs price vols The change in forward bond price is related to the change in forward bond yield by δB SB ≈-DδyOr B B where D is the(modified)duration of the forward bond at option maturity Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 22.11 Yield Vols vs Price Vols The change in forward bond price is related to the change in forward bond yield by where D is the (modified) duration of the forward bond at option maturity y y Dy B B D y B B   −   −   or