标题: Duration Fixed Income [打印本页] 作者: Elliotbay 时间: 2013-4-4 05:49 标题: Duration Fixed Income
Can anyone explain these to me?
? Higher {lower} coupon means lower (higher) duration.
? Longer {shorter} maturity means higher (lower) duration.
? Higher (lower) market yield means lower (higher) duration.作者: Mechanic 时间: 2013-4-4 06:00
? Higher {lower} coupon means lower (higher) duration.
Meaning your income is higher and less reinvetment risk, lower interest rate risk.
? Longer {shorter} maturity means higher (lower) duration.
higher reinvestment risk, higer interest rate risk.
? Higher (lower) market yield means lower (higher) duration.
Meaning your income is higher and lower interest rate risk作者: dontknow1987 时间: 2013-4-4 06:02
CareerthruCFA:
you wrote:
? Higher {lower} coupon means lower (higher) duration.
Meaning your income is higher and less reinvetment risk, lower interest rate risk.
but, higher coupon should be higher reinvestment risk.作者: JustasS 时间: 2013-4-4 06:04
I think should be more reinvestment risk and less interest rate risk for higher coupon. As you recover money faster from higher coupon, you are subjected to less interest rate risk. But on the other hand, with more money now, you will face more reinvestment risk.作者: slackeranalyst 时间: 2013-4-4 06:06
By the way, Schweser sample found at the Samples header above links to free notes for SS 14 (I think 14) but includes notes on duration.
This isn’t clear to me but I accept it at, heh, face value:
Higher Coupon You’ll recover money sooner lesser Risk less duration
I merely think of the effect of having a relatively higher numerator in the bond price PV equation relative to yield. I’m quite sure how a higher coupon rate determines that one may recover their money sooner.
