Yield-Based Bond Duration Measures and Properties (Katas)

21 questions
Question 1 of 21

Duration measures in this module are used to measure the sensitivity of which price to changes in yield?

Question 2 of 21

Between coupon payments, if yield-to-maturity does not change, a bond's Macaulay duration most likely:

Question 3 of 21

The Macaulay duration of a zero-coupon bond is most accurately its:

Question 4 of 21

Modified duration is most likely used to estimate the ____ change in a bond's full price for a given change in yield-to-maturity:

Question 5 of 21

Price value of a basis point most accurately estimates the change in the full price of a bond for a:

Question 6 of 21

All else equal, an increase in the fraction of the current coupon period that has elapsed results in most likely ____ duration:

Question 7 of 21

Which of the following is a type of yield duration statistic in this module?

Question 8 of 21

Modified duration is most accurately described as the sensitivity of a bond's price to changes in its:

Question 9 of 21

Approximate modified duration is especially useful for bonds with unknown Macaulay duration because of:

Question 10 of 21

For most bonds, the price decrease from a 100 bp yield increase is most likely ____ the price increase from a 100 bp yield decrease:

Question 11 of 21

A non-callable perpetuity has a Macaulay duration of most accurately:

Question 12 of 21

All else equal, a longer time-to-maturity results in most likely ____ duration:

Question 13 of 21

Interest rate risk for a floating-rate note most likely arises primarily:

Question 14 of 21

All else equal, a lower yield-to-maturity results in most likely ____ duration:

Question 15 of 21

Money duration is most accurately the product of annualized modified duration and the bond's:

Question 16 of 21

Floating-rate instruments typically have very ____ duration because coupon periods are usually less than six months:

Question 17 of 21

The Macaulay duration of a floating-rate note is most accurately the fraction of the period remaining until the next:

Question 18 of 21

All else equal, a lower coupon rate results in most likely ____ duration:

Question 19 of 21

Approximate modified duration is most accurately based on changing a bond's yield:

Question 20 of 21

If a bond's modified duration is higher, its price–yield relationship is most likely:

Question 21 of 21

For a zero-coupon bond with a positive yield, modified duration is most likely ____ its Macaulay duration: