LOS e Distinguish among the alternative definitions of duration.
The goal of computing effective duration is to get a:
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A) |
preliminary estimate of modified duration. | |
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B) |
measure of duration that is effectively constant for the life of the bond. | |
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C) |
more accurate measure of the bond's price sensitivity when embedded options exist. | |
The point of effective duration is to consider expected changes in cash flow from features such as embedded options. When embedded options exist, the effective duration will give a better measure of the bond’s price sensitivity to interest rate changes.
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发表于 2010-4-25 20:22
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