Effective Duration
2020-07-28 17:15
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英文名称：Effective Duration 中文名称：有效期限
指一种计算含期权的债券期限的方法，有效期限的计算将预期现金流会随着利率的变化而发生变动的因素考虑在内。
e.g. The combined effective duration time of the top three accounted for 67.3 percent of the total.
A duration calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change.
Effective duration can be estimated using modified duration if the bond with embedded options behaves like an option-free bond. This behavior occurs when exercise of the embedded option would offer the investor no benefit. As such, the security's cash flows cannot be expected to change given a change in yield. For example, if existing interest rates were 10% and a callable bond were paying a coupon of 6%, the callable bond would behave like an option-free bond because it would not optimal for the company to call the bonds and re-issue them at a higher interest rate.
