1. MacAulay duration measures a. Estimated linear change in price for a change i

ID: 2802393 • Letter: 1

Question

1. MacAulay duration measures

a. Estimated linear change in price for a change in yield to maturity

b. Estimated linear change in price for a change in benchmark yield

c. Weighted average of time to receipt of coupon interest payments

2. Effective duration measures

a. Estimated linear change in price for a change in yield to maturity

b. Estimated linear change in price for a change in benchmark yield

c. Weighted average of time to receipt of coupon interest payments

3. Modified duration measures

a. Estimated linear change in price for a change in yield to maturity

b. Estimated linear change in price for a change in benchmark yield

c. Weighted average of time to receipt of coupon interest payments

4. The point where reinvested coupons offsets the drop in the price of a bond in a rising rate environment is also known as

a. MacAulay duration

b. Effective Duration

c. Modified Duration

1) C - Macaulay duration is the weighted average time to receipts of payments

2) B - Effective duration is the estimated price change due to change in benchmark yield

3) A - Modified duration is the estimated price change for change in YTM

4) A - Macaulay duration

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