NO.PZ2016031001000130
问题如下：
The holding period for a bond at which the coupon reinvestment risk offsets the market price risk is best approximated by:
选项：
A.duration gap.
B.modified duration.
C.Macaulay duration.
解释：
C is correct.
When the holder of a bond experiences a one-time parallel shift in the yield curve, the Macaulay duration statistic identifies the number of years necessary to hold the bond so that the losses (or gains) from coupon reinvestment offset the gains (or losses) from market price changes. The duration gap is the difference between the Macaulay duration and the investment horizon. Modified duration approximates the percentage price change of a bond given a change in its yield-to-maturity.
考点：Interest Rate Risk & Investment Horizon
解析：当再投资风险和市场风险相抵消的时候，也就是投资期等于麦考利久期。此时，两者之差是duation gap=0。题目问的是当两个风险相互抵消的时候，能够衡量投资期的是什么，所以我们选的是麦考利久期，故选项C正确。
看了解析及其他人的提问，也明白二者相互抵消的时候duration gap =0, 还是不明白为什么麦考利久期就可以衡量呢？？
