问题如下:
Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest?
选项:
A.Bond A
B.Bond B
C.Bond C
解释:
B is correct.
Bond B has the greatest money duration per 100 of par value. Money duration
(MoneyDur) is calculated as the annual modified duration (AnnModDur) times the full price
(PVfull) of the bond including accrued interest. Bond B has the highest money duration per 100 of par value.
MoneyDur = AnnModDur × PVfull
MoneyDur of Bond A = 5.42 × 85.00 = 460.70
MoneyDur of Bond B = 8.44 × 80.00 = 675.20
MoneyDur of Bond C = 7.54 × 85.78 = 646.78
Annual modified duration是个什么概念,如何计算?我们知道modified duration的分母是1+periodic yield,年化的话是以1+annual yield吗?