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麦考利久期: Macaulay Duration
修正久期: Modified duration
Modified duration is a measure of the price sensitivity of a bond to interest rate movements. It is calculated as shown below:
Modified Duration = Macaulay Duration /( 1 + y/n),
where y = yield to maturity and n = number of discounting periods in year ( 2 for semi annual pay bonds ) |
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发表于 2012-6-15 10:54
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