标题: Need some clarfication on Duration [打印本页] 作者: RealEstate_CFA 时间: 2011-7-11 18:43 标题: Need some clarfication on Duration
so Duration= %change in price/%change in interest rate?
are there any major difference between Effective duration, Modified Duration, and Macaulay duration?
Thx作者: Bluetick1010 时间: 2011-7-11 18:43
Effective Duration is suitable for both option free bonds and bonds with embedded options
Macaulay Duration and Modified are not suitable for bonds with embedded options.
Macaulay Duration measuring the average time it takes for the cash flows to come in. Modified Duration is a bit advanced and takes into account also the YTM of the bond.
I think I missed a few crucial points. But surely someone else in AF can fill you on this.
