一是tenor，参考price-maturity曲线，随着到期日接近，平价溢价折价债券都会趋于par value；二是yield，参照...
effective duration和modified duration表达同样的意思，都是收益率变动，债券价格的变动率。在三级里，如果...
最为精准的衡量利率风险的指标确实是modified duration,但是由于modified durtaion也是从Macaulay duration转换得来的,所以两个都可以作为衡量利率风险的指标。这两个duration多数情况下是可以结合起来一起看的。 这道题考察的其实是下面这幅图,零息债券,折价债券,溢价债券和永续债券的Macaulay durtaion的变化特点。所以我们...
Macaulay Duration vs. Modified Duration: An Overview The Macaulay duration and the modified duration are chiefly used to calculate the duration of bonds. The Macaulay duration calculates the weighted average time before a bondholder would receive the bond's cash flows. Conversely, the...
Macaulay duration, a weighted average of the time until cash flows are received, forms the basis for understanding the sensitivity of fixed-income products to interest rate changes. Here, weights correspond to the present value of the cash flows. Modified duration, on the other hand,...
你好同学,Maculay duration 其实是一个加权平均还款期的概念,这里的权重即投资期内的现金流的现值。Modified duration 是反映固定收益产品的价格随利率波动的敏感程度,我们可以通过求导得到。由于得到的结果正好等于 Maculay duration/(1+y),因此我们把它称呼为 modified duration。 发布于 2018-03-25 11:09 1 如何...
那么很明显,修正久期等于麦考利久期除以()(1+r),即DModified=DMacaulay1+r。 接下来,式(1)同时乘以PV,以得到美元久期(dollar duraion or money duration), dPVdr=−PV1+rDMacaulay=−PV×DModified=−Ddollar(2) 也就是美元久期等于修正久期乘以债券现值,Ddollar=PV×DModified。
在CFA三级固定收益部分，理解债券组合免疫策略的关键是掌握久期的几个关键概念。首先，债券价格的定价基础是公式：c/FV * (1 + r)^n，其中c是票息，FV是面值，PV是现值，r是收益率，n是到期期限。通过对此公式求导并除以PV，得到麦考利久期，即[c/(1+r)^n]，这是债券价格对利率变动敏感度的...
Macaulay Duration vs. Modified Duration Modified duration is another frequently used type of duration for bonds. Different from Macaulay duration, which measures the average time to receive the present value of cash flows equivalent to the current bond price, Modified duration identifies thesensitivity ...
Macaulay Duration:The duration of the bond as measured in years (see how to compute it above) YTM:The calculated yield to maturity of the bond Annual Payments:How many coupon payments the bond makes a year Example: Compute the Modified Duration for a Bond ...