问题
单项选择题
Effective duration is more appropriate than modified duration as a measure of a bond’s price sensitivity to yield changes when:（）
A. the bond contains embedded options.
B. yield curve changes are not parallel.
C. the bond is a floating rate security.
答案
参考答案：A
解析：
Effective duration takes into consideration embedded options in the bond. Modified duration does not consider the effect of embedded options. For option-free bonds, modified duration will be similar to effective duration. Both duration measures are based on the value impact of a parallel shift in a flat yield curve.