Vannie
2020-02-09 13:31老師，Q1中這里為什么是maturity match而不是用duration match?為什么maturity和effective duration是不同的？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2020-02-10 10:26
該回答已被題主采納
同學你好
原版書中，定段有說明
The G-spread is often used when the benchmark bond is a government bond. G-spread is the spread over an actual or interpolated government bond. When no government bond exists that has the same maturity as the credit security, a linear interpolation of the yields on two on-the-run government bonds is used as the benchmark rate. The yields of the two government bonds are usually weighted so that their weighted average maturity matches the credit security’s maturity. Simplicity is a key advantage of the G-spread: It is easy to calculate and understand, and different investors usually calculate it the same way.
另外 到期期限和有效久期是不同的概念。到期期限是指債券還有多少時間到期，有效久期是指利率變化，債券價格實際的影響有多少。去年的教材這進而寫成ED匹配，今年進行了勘誤。
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