NO.PZ2020011303000210
问题如下:
How is effective duration defined?
解释:
Effective duration for an instrument with price P is -△P/P△r
where △r is the size of a small increase in all rates and △P is the resultant change in the price.
题目问:effective duration的定义是什么?
effective duration指的是在利率水平发生特定变化的情况下债券价格变化的百分比=-△P/P△r
老师好,图片红框公式不应该是modified duration吗?
effective duration应该是这个吧?