李同学2019-03-21 19:21:32

03.单选题 已收藏 标记 纠错 Which of the following statements about duration is most accurate? A Effective duration accounts for changes in a bond’s cash flows resulting from interest rate changes. B Modified duration is the most appropriate measure of interest rate sensitivity for bonds with embedded options. C Effective duration is calculated from past price changes in response to changes in yield. A 答案解析 Neither Macaulay nor modified duration is an appropriate measure of interest rate risk for bonds with embedded options. Macaulay duration does not take the current YTM into account as modified duration does. Effective duration, however, explicitly takes into account changes in a bond’s cash flows due to interest rate changes and is calculated from expected price changes in response to a given increase or decrease in yield. 问：记得不是说 effective duration是 从市场上找来的 V- 和 V+，所以为什么C说是expected cash flow，这里的现金流到底是预估的还找来的？