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rosewhite

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tT
发表于 2011-7-13 16:02 | 只看该作者

Bond Duration

price, change, following, understand
I could not understand the following:

Schweser SS15 P29:
Duration of zero coupon bond is approximately equal to the years to maturity, and duration of a floater is equal to the fraction of the year until the next reset date.

Isn't Duration = - %change in bond price/yield change in %? So how would that translate into the statement above?
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leadcfa

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2#
发表于 2011-7-13 16:02 | 只看该作者
young money

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pogo

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3#
发表于 2011-7-13 16:02 | 只看该作者
jimmykaw, you are correct. Duration is %change in bond price per % change in yield.

But there is another loose definition of duration as number of years to maturity. I dont think CFA is going to ask any question on having to calculate duration based on this definition. But this is rather to undersand the concept that: longer the maturity period of a bond, more is the interest rate risk on it and thus more Duration.

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JGovender

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4#
发表于 2011-7-13 16:02 | 只看该作者
jimmykaw Wrote:
-------------------------------------------------------
> what??


young mullah baby.

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koba

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5#
发表于 2011-7-13 16:02 | 只看该作者
Jimmy this is correct for FRNs. Duration is to next reset period because in a normal market it is likely to have some sort of event at that time.

Our portfolio management system was not doing this and we reported it as a bug that they have since fixed. I don't know if this is a new convention or if it's one of those things that has disagreement but the concept is accurate.

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