标题: Bond Duration [打印本页] 作者: rosewhite 时间: 2011-7-13 16:02 标题: Bond Duration
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?作者: leadcfa 时间: 2011-7-13 16:02
young money作者: pogo 时间: 2011-7-13 16:02
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.作者: JGovender 时间: 2011-7-13 16:02
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.
