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椰子鸡 · 2024年02月15日

请问一下 Curve duration 的知识点在讲义哪里

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000048

问题如下：

True or false: Curve duration is a type of yield duration.

选项：

A.

True

B.

False

解释：

B is correct. The Macaulay, modified, and money duration measures, as well as the price value of a basis point, are all types of yield duration. The curve duration is not classified as a type of yield duration.

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1 个答案

吴昊_品职助教 · 2024年02月17日

嗨，从没放弃的小努力你好：


有关yield-based和curve-based的区别，可以参考基础班讲义P270页。

Macaulay, modified, money duration 以及PVBP都是yield duration；而effective duration是curve duration。

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