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@_@ · 2021年05月16日

问一道题:NO.PZ2016031001000119 [ CFA I ]

问题如下:

Which of the following statements about Macaulay duration is correct?

选项:

A.

A bond’s coupon rate and Macaulay duration are positively related.

B.

A bond’s Macaulay duration is inversely related to its yield-to-maturity.

C.

The Macaulay duration of a zero-coupon bond is less than its time-to-maturity.

解释:

B is correct.

A bond’s yield-to-maturity is inversely related to its Macaulay duration: The higher the yield-to-maturity, the lower its Macaulay duration and the lower the interest rate risk. A higher yield-to-maturity decreases the weighted average of the times to the receipt of cash flow, and thus decreases the Macaulay duration.

A bond’s coupon rate is inversely related to its Macaulay duration: The lower the coupon, the greater the weight of the payment of principal at maturity. This results in a higher Macaulay duration. Zero-coupon bonds do not pay periodic coupon payments; therefore, the Macaulay duration of a zero-coupon bond is its time-to-maturity.

coupon rate变大,每期还的钱越多,应该是正相关啊

1 个答案
已采纳答案

吴昊_品职助教 · 2021年05月16日

嗨,从没放弃的小努力你好:


同学你好:

麦考利久期是平均还款期,麦考利久期越小,代表的是还款越快。

coupon rate越大,代表期间现金流越多,也就是前期的现金流较多,还款更快,duration越小,是反相关。参考基础班讲义P309页。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!