题目
The holding period for a bond at which the coupon reinvestment risk offsets the market price risk is best approximated by:
选项
A.duration gap.
B.modified duration.
C.Macaulay duration.
答案
C
解析
： C is correct. When the holder of a bond experiences a one-time parallel shift in the yield curve, the Macaulay duration statistic identifies the number of years necessary to hold the bond so that the losses (or gains) from coupon reinvestment offset the gains (or losses) from market price changes. The duration gap is the difference between the Macaulay duration and the investment horizon. Modified duration approximates the percentage price change of a bond given a change in its yield-to-maturity. ： 这道题目问的是再投资风险抵消市场价格风险的债券持有期最接近于： Duration gap讲的是market price risk和coupon reinvestment risk之间的关系。如果是相互抵消了，Duration gap=Macaulay Duration-Investment Horizon，就表示Macaulay Duration=Investment Horizon。题干这里问到的是holding period，holding period这里指的是实际持有期限，麦考利久期就是一个持有期的概念，所以选Macaulay Duration。而duration gap的意思是麦考利久期和投资期限之间的差异。