duration is the first derivative to the interest of the bond pricing.
for the zero-coupon bond BondValue=FaceValue*e^(-r*t)
take the first derivative as BV'(r)=-t*Facevalue*e^(-r*t)=-t*BondValue
therefore, the duration for zero-coupon bond is -t, and usually people ignore the nagetive sign before the number, then duration is t which is the maturity of the bond. | 
发表于 2010-3-21 16:45
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