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Evelynislost · 2020年03月05日

问一道题:NO.PZ201602270200002102

* 问题详情,请 查看题干

问题如下:

2. The effective duration of Bond #6 is:

选项:

A.

lower than or equal to 1.

B.

higher than 1 but lower than 3.

C.

higher than 3.

解释:

A is correct.

The effective duration of a floating-rate bond is close to the time to next reset. As the reset for Bond #6 is annual, the effective duration of this bond is lower than or equal to 1.

什么时候会出现浮动利率久期小于1的情况,当付息间隔小于整年1?

1 个答案

吴昊_品职助教 · 2020年03月06日

是的,因为浮动利率债券的有效久期等于reset period。