NO.PZ2016031001000114
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:
C is correct.
A bond’s modified duration cannot be larger than its Macaulay duration. The formula for modified duration is:
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.
考点:duration
解析:curve duration只有effective duration,其他(Modified and Macaculay)都是yield duration。故选项A、B均不正确。区别在于yield duration是价格对债券自身YTM的敏感性,而Curve duration是价格对benchmarke yield curve的敏感性,用于含权债券。
r通常大于0,1+r通常大于1,所以Modified duration通常比Macaculay duration小,故选项C正确。
r是否会出现小于0的情况呢?