标题: Duration measure used in return impact of spread changes cal [打印本页] 作者: bulosehi 时间: 2013-5-7 05:08 标题: Duration measure used in return impact of spread changes cal
I am under the impression that effective duration is a better measure of duration than modified duration, as it accounts for options. For a straight bond, the two measures result in essentially the same outcome.
Why does KS’s formula for return impact of spread changes use modified duration, not effective duration? Are they interchangeable within this formula, based on the above rule of thumb?作者: wizofoz 时间: 2013-5-7 05:11
What is the KS’s formula ? Can I find it in CFA L1 curriculum ? Please kindly advise.作者: bulosehi 时间: 2013-5-7 05:15
Both effective and modified duration can be used for option-free bonds.
