Which of the following statements about ...

题目

Which of the following statements about duration is correct? A bond’s:

选项

A.effective duration is a measure of yield duration.

B.modified duration is a measure of curve duration.

C.modified duration cannot be larger than its Macaulay duration (assuming a positive yield-to-maturity).

答案

C

解析

： C is correct. A bond’s modified duration cannot be larger than its Macaulay duration assuming a positive yield-to-maturity. The formula for modified duration is: where r is the bond’s yield-to-maturity per period. Therefore, ModDur will typically be less than MacDur. Effective duration is a measure of curve duration. Modified duration is a measure of yield duration. ： 这道题目问的是下列关于久期的陈述中哪一项是正确的？债券： C是正确的。假定到期收益率为正，债券的修正久期不会大于其麦考利久期。修正久期的公式为： 式中，r是债券每一期的到期收益率。因此，ModDur通常小于MacDur。