FRM-FMP

anbu.edu
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FRM-FMP

Postby anbu.edu » Fri Apr 26, 2013 4:13 pm

Which of the following statements regarding duration is FALSE?

A) Duration is a measure of percentage change in price for a given change in yield.
B) Duration of a portfolio of bonds is equal to the market value weighted average of the duration of individual bonds in the portfolio.
C) Duration is unitless.
D) Other things equal, duration of a coupon bond is higher when the bond’s YTM is lower.


Source schweser

Can you please find a soluction . Is A correct

vnraghuveer
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FRM-FMP

Postby vnraghuveer » Tue Apr 30, 2013 3:06 pm

the answer is C. Duration is nothing but the weighted average time the bond takes per coupon payment. It's generally expressed in years.
A is true because duration is an important measure in estimating bond price changes given the changes in yield.


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