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久期概念及特性 久期这一概念最早由麦考莱为研究债券的期限结构于1938年提出,因而被称为麦考莱久期,也叫比例久期。它是债券在未来产生现金流的时间的加权平均,其权重是各期现金流现值在债券价格中所占的比重。其来源如此:
The Concept and Characteristics of Duration The concept of duration was first proposed by McCauley in 1938 for the term structure of the research bond and was therefore called McCauley’s duration, also known as the duration of the agreement. It is the weighted average of the time when a bond generates cash flows in the future, and its weight is the proportion of the present value of cash flows in the bond prices. The source is this: