Значение слова "EFFECTIVE DURATION" найдено в 5 источниках

EFFECTIVE DURATION

найдено в "Financial and business terms"
effective duration: translation

(1) One of several methods of expressing duration. More accurate than Macaulay duration or modified duration.
See convexity, duration, Macaulay duration, and modified duration
(2) A synonym for empirical duration.
See empirical duration.
(3) A synonym for option-adjusted duration.
See option-adjusted duration
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The duration calculated using the approximate duration formula for a bond with an embedded option, reflecting the expected change in the cash flow caused by the option. Measures the responsiveness of a bond's price - taking into account that expected cash flows will change as interest rates change due to the embedded option. Bloomberg Financial Dictionary


найдено в "Investment dictionary"
Effective Duration: translation

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.


найдено в "Англо-русском экономическом словаре"
Срок действия
.Срок действия, рассчитанный на основе формулы приблизительного срока действия для облигации с внутренним опционом. Отражает ожидаемое изменение потока наличности, вызванное опционом. Является критерием изменения реакции цены облигации на ожидаемые потоки наличности при изменении процентных ставок, вследствие внутреннего опциона.Инвестиционная деятельность.

найдено в "Financial and business terms"
Effective duration: translation

The duration calculated using the approximate duration formula for a bond with an embedded option, reflecting the expected change in the cash flow caused by the option. Measures the responsiveness of a bond's price taking into account the expected cash flows will change as interest rates change due to the embedded option. The New York Times Financial Glossary


найдено в "Англо-русском словаре по космонавтике"
эффективное время работы
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