fixed yield

嗨，爱思考的PZer你好：

“What does yield duration statistics mean? Also why is duration for Type I liability? I thought duration is best for interest rate sensitivity in a stable yield curve?”

1、yield duration statistics：Macaulay duration, modified duration, money duration, and the present value of a basis point (PVBP)

2、because duration is often calculated by discounting each cash flow with discount rate corresponding with the date. Timing and amount of cashflows must be known so that duration can be calculated.

3、The duration of a bond measures the sensitivity of the bond’s full price to changes in the bond’s yield-to-maturity or, more generally, to changes in benchmark interest rates. Duration estimates the change in the bond price for small yield-to-maturity changes. But for larger changes, convexity is more useful.

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嗨，爱思考的PZer你好：

一共四类liability，表格从上到下，现金流发生的时间和金额越来越不确定。

对于type 1类型的负债，现金流发生的金额和时间确定，就可以用duration来衡量它的利率敏感性。

但是对于其他type类型负债，现金流发生金额或者时间不确定，就没法算duration，只能算effective duration（比如含权债券）。

Shrewsbury说的是对的。

Sliver错在他说四类type的负债都用yield duration statistics衡量利率敏感度，这个说法不对，只有type I才能用。

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