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.
能在具体解释下么？AB容易混淆
