NO.PZ2023120801000088
问题如下：
Which of the following statements about duration is correct? A bond's:
选项：
A.effective duration is a measure of yield duration.
modified duration is a measure of curve duration.
C.modified duration cannot be larger than its Macaulay duration.
解释：
Correct Answer: C
A bond's modified duration cannot be larger than its Macaulay duration. The formula for modified duration is: Modified Duration = Macaulay Duration / (1+r), where r is the bond’s yield-to-maturity per period. A bond's yield-to-maturity has an effective lower bound of 0, and thus the denominator 1 + r term has a lower bound of 1. Therefore, ModDur will typically be less than MacDur. Effective duration is a measure of curve duration. Modified duration is a measure of yield duration.
modified duration cannot be larger than its Macaulay duration.
Mod Dur= Macuaulay duration / (1+r); 当r<0的时候 （比如老师之前讲过某些欧洲国家的通胀严重，国债可能收益率为负数），modified duration不是比macaulay duration大？
