15. Effective duration is the approximate percentage price change of a bond for a 100-basis-point parallel shift

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15. Effective duration is the approximate percentage price change of a bond for a 100-basis-point parallel shift in the yield curve allowing the cash flow to change in response to the change in yield.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:00 AM

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15. Effective duration is the approximate percentage price change of a bond for a 100-basis-point parallel shift in the yield curve allowing the cash flow to change in response to the change in yield.
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14. Modified duration is not a useful measure of the price sensitivity for bonds with embedded options.
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15. Effective duration is the approximate percentage price change of a bond for a 100-basis-point parallel shift

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Measuring And Controlling Interest Rate And Credit Risk

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