是的,都是衡量price sensirivity to yield curve change。 effective duration 一般是用来衡量与计算含权债券的duration. 对于非含权债券的duration, modified duration 和 effctive duration 的结果一致。添加评论 0 0 1 回答 0 关注 845 浏览 我要回答 关注问题 相关问题 证书课 CFA Level I CFA Level II CFA ...
根据CFA二级的知识点, effective duration,用来衡量含权债券的价格收到利率的影响。 modified duration,用来衡量非含权债券的价格收到利率的影响。对于非含权债券来说,其effective duration 等于modified duration (计算的结果也是相同的) --- use effective duration to measure sensitivity to parallel shift in interests...
Effective duration takes into consideration embedded options in the bond. Modified duration does not consider the effect of embedded options. For option-free bonds, modified duration will be similar to effective duration. Both duration measures are based on the value impact of a parallel shift in ...
Why should effective duration, rather than modified duration, be used when bonds contain embedded options() A. Effective duration considers expected changes in cash flows. B. Modified duration considers expected changes in cash flows. C. Either could be used if the bond has embedded options. 相关...
Effective Duration The modified duration formula discussed above assumes that the expected cash flows will remain constant, even if prevailing interest rates change; this is also the case for option-free fixed-income securities. On the other hand, cash flows from securities with embedded options or...
Effective duration is more appropriate than modified duration as a measure of a bond's price sensitivity to yield changes when:A. the bond contains embedded options.B. the bond has a low coupon rate and a long maturity.C. yield curve changes are not parallel. 正确答案:A 分享到: 答案解析...
Why should effective duration, rather than modified duration, be used when bonds contain embedded options()A.Effective duration considers expected changes in cash flows.B.Modified duration considers expected changes in cash flows.C.Either could be used
Effective duration is more appropriate than modified duration as a measure of a bond's price sensitivity to yield changes when: A. the bond contains embedded options. B. the bond has a low coupon rate and a long maturity. C. yield curve changes are not parallel. 相关知识点: 试题来源: ...
Effective duration is more appropriate than modified duration as a measure of a bond’s price sensitivity to yield changes when:()A.the bond contains embedded options.B.yield curve changes are not parallel.C.the bond is a floating rate security.的答案
D. is equal to modified duration for callable bonds but not putable bonds. 正确答案:B 分享到: 答案解析: The point of effective duration is to consider expected changes in cash flow from features such as embedded options. 统计:共计43人答过,平均正确率65.11% 问题:进入高顿部落发帖帮助...