题目
The interest rate risk of a fixed-rate bond with an embedded call option is best measured by:
选项
A.effective duration.
B.modified duration.
C.Macaulay duration.
答案
A
解析
： A is correct. The interest rate risk of a fixed-rate bond with an embedded call option is best measured by effective duration. A callable bond’s future cash flows are uncertain because they are contingent on future interest rates. The issuer’s decision to call the bond depends on future interest rates. Therefore, the yield-to-maturity on a callable bond is not well defined. Only effective duration, which takes into consideration the value of the call option, is the appropriate interest rate risk measure. Yield durations like Macaulay and modified durations are not relevant for a callable bond because they assume no changes in cash flows when interest rates change. ： 这道题目问的是有一个嵌入式看涨期权的固定利率债券的利率风险最好通过以下方法来衡量： A是正确的。有一个嵌入式看涨期权的固定利率债券的利率风险最好用有效久期来衡量。可赎回债券的未来现金流是不确定的，因为它们取决于未来的利率。发行人决定赎回债券取决于未来利率。因此，可赎回债券的到期收益率没有很好的定义。只有考虑到看涨期权价值的有效久期才是适当的利率风险度量。麦考利（Macaulay）和修正久期（modified durations）等收益率久期与可赎回债券无关，因为它们假设利率变化时现金流没有变化。