$duration is -slope of price-yield curve. => duration is -slope/$price
effective duration = (V+ - V-)/(V0*(2*change in y)). Note that as we change y symmetrically on both sides. Total change in yield is 2 times of delta y. (y+delta y) - (y - delta y) = 2*delta y.
发表于 2011-7-11 19:54
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