问题
单项选择题
Which one of the following bonds has the shortest duration()
A. Zero-coupon, 10-year maturity.
B. Zero-coupon, 13-year maturity.
C. 8% coupon, 10-year maturity.
答案
参考答案:C
解析:
If bonds are identical except for maturity, and coupon, the one with the shortest maturity and highest coupon will have the shortest duration. The rationale for this is similar to that for price volatility. Duration is approximately equal to the point in years where the investor receives half of the present value of the bond' s cash flows. Therefore, the earlier the cash flows are received, the shorter the duration.