NO.PZ2018123101000075
问题如下:
An annual-paid floating-rate bond has a maturity of three years. The effective duration of this bond is:
选项:
A.
lower than or equal to 1.
B.
higher than 1 but lower than 3.
C.
higher than 3.
解释:
A is correct.
考点:考察对浮动利率债券的理解
解析 : 浮动利率债券的有效久期的最大值为利率重置的间隔期 。 由于该浮动利率债券每年重置一次 , 因此该债券的有效久期小于或等于1 。
请问在讲义那里q啊谢谢