文章基本信息

标题：Bond Duration: A Pedagogic Illustration
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作者：Feng, Yi ; Kwan, Clarence C. Y.
期刊名称：Spreadsheets in Education (eJSiE)
印刷版ISSN：1448-6156
出版年度：2012
卷号：5
期号：3
页码：1
出版社：Bond University
摘要：In view of the importance of reliable duration measures for bond immunization strategies, this paper considers, from a pedagogic perspective, the duration concept. Both a basic bond model and a more realistic bond model, which accounts for the accrued interest, are considered. The use of graphical features and scroll bars in Microsoft ExcelTM allows the duration concept to be delivered via an interactive approach. This paper also addresses an unresolved issue on bond duration. Specically, it explains why a saw-toothed time pattern of traditionally-defined duration exists and provides a corrective measure, which is easy to implement on Excel. Analytical materials pertaining to bond duration, as well as illustrative examples based on actual bond quotation data, are provided.
关键词：bond; duration; accrued interest