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楼主: daggerczd

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问大家一个关于久期的问题 [推广有奖]

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daggerczd

发表于 2009-12-23 19:34:07 |AI写论文

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修正的久期相比久期有什么优点和缺点呢？
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fliskycn 发表于4楼查看完整内容

Modified Duration = (Duration)/(1+Yield/m), where m is the freqency of coupon payment per year The modified Duration is consistant with the duration when the coupon payment is continuously compounded. And then, we can have the simple relationship: dB=-B*MD*dy, where y is the yield I think it can be regarded as the discounted duration to easy to remember. 3# daggerczd

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· 金融学精彩问答|主题: 1865, 订阅: 9

沙发

Enthuse 发表于 2009-12-23 22:57:53

modified duration is independent of price.

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daggerczd

发表于 2009-12-24 13:41:16

为什么独立于价格？

板凳

fliskycn 发表于 2009-12-24 14:08:52

Modified Duration = (Duration)/(1+Yield/m), where m is the freqency of coupon payment per year

The modified Duration is consistant with the duration when the coupon payment is continuously compounded. And then, we can have the simple relationship:

dB=-B*MD*dy, where y is the yield

I think it can be regarded as the discounted duration to easy to remember.

3# daggerczd