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Basic Question 0 of 17
The relationship between modified duration and Macaulay duration is ______
B. the Macaulay duration is the modified duration divided by (1+ yield/k).
C. that the modified duration is always greater than the Macaulay duration.
A. the modified duration is the Macaulay duration divided by (1+ yield/k).
B. the Macaulay duration is the modified duration divided by (1+ yield/k).
C. that the modified duration is always greater than the Macaulay duration.
User Contributed Comments 1
| User | Comment |
|---|---|
| Kennyk11 | The modified duration will always be less than the Macaulay duration, except for the case when the yield is 0, in which case the Modified Duration will equal the Macaulay duration. Ex. If r=0 Modified Duration = Macaulay Duration / (1+0) = Macaulay Duration |
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Learning Outcome Statements
calculate and interpret convexity and describe the convexity adjustment
calculate the percentage price change of a bond for a specified change in yield, given the bond's duration and convexity
CFA® 2025 Level I Curriculum, Volume 4, Module 12.