NO.PZ2023040701000079
问题如下：
Muniz poses the following question: “If you expect a steepening of the yield curve, what duration measure provides the best indication of the interest rate risk for a callable bond?”
For the interest rate scenario presented by Muniz, the most appropriate duration measure is:
选项：
A.key rate duration.
one-sided up duration.
effective duration.
解释：
Correct Answer: A
A bond’s sensitivity to changes in the shape of the yield curve, steepening or flattening, is captured by key rate duration. One-sided duration (up or down) is better than effective or two-sided duration at capturing the interest rate sensitivity of a callable or putable bond but only for a parallel shift in the yield curve, not for changes in the shape of the yield curve.
key rate duration和one-sided up duration的作用分别是什么？
