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...
whichthebondisselling.Y越低,越可能因为小变化而引起price的大变化 Duration Maturityisthemaindeterminantofinterestraterisk Theeffectivematuritytimeforan8%andzero-couponbondisdifferent.Zero-couponbondhasalonger effectivematuritytime.Zero-couponbondmakesonlyonepaymentatmaturitywhereas16.1makesmore ...
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...
ReflectionontheShortcomingofMaturitymodel:Ignoringcouponeffect Maturitymodeltriestotakeadvantageofthematurityeffectonbondvalueanduseitsmaturityasanindicatorofitsinterestratesensitivity.Butstrictlyspeaking,itisagoodcaseonlywhenthebondgeneratesnocoupon,i.e.,itisazerocouponbond.Couponeffectisignoredinmaturitymodel.Morebonds...
内容提示: Duration and Convexity of Zero-CouponConvertible BondsSudipto SarkarDuration and convexity are important measures in fixed-income portfolio management.We have derived closed-form expressions for duration and convexity of zero-couponconvertibles, incorporating the impact of default risk, conversion...
对于零息债券,Macaulay Duration = Maturity(到期期限),因为 P = PV(CF1)。例如5年期零息债,Mac D就是板上钉钉的5年(和收益率变动无关)。换个角度说,5年付息债券的Mac D一定小于5年,所以Maturity一样的情况下Coupon bearing bond 的Mac D < Zero Coupon Bond的Mac D。
百度试题 题目Assuming a flat term structure of interest rates of 5%, the duration of a zero-coupon bond with 5 years remaining to maturity is closest to: A. 4.35. B. 5.00. C. 3.76. 相关知识点: 试题来源: 解析 B 略 反馈 收藏
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,...
A zero coupon bond has an effective duration equal to its maturity. Duration measures the approximate change in price given a change in interest rates. Therefore, the duration of the bond does not change with the yield to maturity of the bond....
Duration measures the sensitivity of a bond to changes in interest rates. Generally, when interest rates rise, the higher a bond’s duration is, and the more its price will fall. Time to maturity and a bond’s coupon rate are two factors that affect a bond’s duration. ...