题目
A and B are two perpetual bonds, i.e., their maturities are infinite. A has a coupon of 4 percent and B has a coupon of 8 percent. Assuming that both bonds are trading at the same yield, what can be said about the modified duration of these bonds?
选项
A.The duration of A is greater than the duration of B.
B.The duration of A is less than the duration of B.
C.A and B both have the same duration.
D.None of the above.
答案
C
解析
Answer: CThe modified duration of perpetuity (consol bond) is 1/y, where “y” is the yield to maturity. Since both trade at the same yield, they must both have the sine duration.永续债券的修正久期是1/y，y为到期收益率。由于两者的收益率相同，因此它们都必须具有相同的久期。