The duration of a coupon bond___A.does not change after the bond is issued.B.can accurately predict the price change of the bond for any interest-rate change.C.will decrease as the yield to maturity decreases.D.All of the options are true.E.None of
One replicating portfolio for a default-prone zero coupon bond contains a long position in the default-free asset plus a short position in a put option on the underlying assets. The duration of the bond is shown to be a weighted combination of the duration of the default-free bond and the...
duration可以看做是现金流以时间为权重的加权平均。对于同样期限的债券，coupon rate高，则现金流的重心就往前移，总体的duration就变短变小，所以，coupon rate越高，duration越低，呈负相关。例如，面值100元，5年期债券，每年年底付息，市场利率为10%，若coupon rate为8%，则债券价格为92.42元，durat...
E.g. a 6 year £1000 par bond paying a coupon of 6.1% with a price of £827.17 and a YTM of 10% p.a. Duration = 10.01 or 10.014/2= 5.007 years What this means is that if the bond was sold after 5.007 years (i.e. 10.014/2) the investor will get their money back in ...
结果1 题目 The duration of a ten - year, 10 percent coupon bond when the interest rate is 10 percent is 6.76 years. What happens to the price of the bond if the interest rate falls to 8 percent? 相关知识点: 试题来源: 解析 it rises 12.3 percent 反馈 收藏 ...
百度试题 题目4、Based on the information presented in Exhibit 1, the effective duration of the 5% coupon bond is closest to:【单选题】 A. 3.18. B. 0.70. C. 1.59. 相关知识点: 试题来源: 解析 C C is correct.反馈 收藏
收益率对于PV的影响主要会作用在远端（这很简单，因为最后一笔本金很大、折现率也大），而对于Coupon的...
All else being equal, when interest rates rise, the duration of a coupon bond rises.
The Macaulay duration of azero-coupon bondis equal to the time to maturity of the bond. Simply put, it is a type of fixed-income security that does not pay interest on the principal amount. To compensate for the lack of coupon payment, a zero-coupon bond typically trades at a discount,...
Withcoupon bonds, investors rely on a metric known as duration to measure a bond's price sensitivity to changes in interest rates. Because a coupon bond makes a series of payments over its lifetime, fixed-income investors need ways to measure the average maturity of a bond's promised cash ...