duration和modified duration
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Modified Duration
A formula that expresses the measurable change in the value of a security in response to a change in interest rates. Calculated as:Where:n = number of coupon p···
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Duration
英文名称:Duration 中文名称:久期衡量债券价格对利率变化的敏感性的主要标准,亦可视为投资人收回其债券投资的资金所需时间的一个指标。久期等于利率变动一个单位所引起的价格···
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Macauley Duration
英文名称:Macauley Duration 中文名称:麦考莱久期债券在未来产生现金流的时间的加权平均,其权重是各期现金值在债券价格中所占的比重。它不适用于具有隐含期权性···
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Effective Duration
英文名称:Effective Duration 中文名称:有效期限指一种计算含期权的债券期限的方法,有效期限的计算将预期现金流会随着利率的变化而发生变动的因素考虑在内。e.g. The combine···
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Duration Method
英文名称:Duration Method 中文名称:久期法/存续期计算方法与剩余期限法(maturity method)类似,仅在计算利率弹性的具体方法上不同,久期法依据所计量债券本身的“麦考莱久期”描述···
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Macaulay Duration
The weighted average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing the present value of the cash flow···
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Key Rate Duration
Holding all other maturities constant, this measures the sensitivity of a security or the value of a portfolio to a 1% change in yield for a given maturity.The···
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Empirical Duration
The calculation of a bond's duration based on historical data. Empirical duration is estimated statistically using historical market-based bond prices and hist···
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Dollar Duration
Dollar duration measures the dollar change in a bond's value to a change in the market interest rate. The dollar duration is generally used by professional bon···