Effective Duration, Modified Duration, and Macaulay Duration.
Do we need to know the difference among them in L3?作者: ohai 时间: 2011-7-11 19:27
Please everyone say no 作者: oneboy 时间: 2011-7-11 19:27
I would remember that effective duration includes the effects of optionality, while modified/Macaulay duration does not...作者: justin88 时间: 2011-7-11 19:27
I doubt it. typically duration is either given, or at worst you have to do a weighted average to calculate portfolio duration.作者: former 时间: 2011-7-11 19:27
