老师你好

问题如下：

Which of the following statements about duration is correct? A bond's:

选项：

A.

effective duration is a measure of yield duration.

B.

modified duration is a measure of curve duration.

C.

modified duration cannot be larger than its Macaulay duration.

解释：

Correct Answer: C

A bond's modified duration cannot be larger than its Macaulay duration. The formula for modified duration is: Modified Duration = Macaulay Duration / (1+r), where r is the bond’s yield-to-maturity per period. A bond's yield-to-maturity has an effective lower bound of 0, and thus the denominator 1 + r term has a lower bound of 1. Therefore, ModDur will typically be less than MacDur. Effective duration is a measure of curve duration. Modified duration is a measure of yield duration.