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Yield elasticity of bond value : ウィキペディア英語版 | Yield elasticity of bond value
Yield elasticity of bond value is the percentage change in bond value divided by a one per percentage change in the yield to maturity of the bond. This is equivalent to saying the derivative of value with respect to yield times the (interest rate/value). This is equal to the MacAulay Bond Duration times the discount rate, or the modified bond duration times the interest rate. If elasticity is below -1, or above 1 if the absolute number is used, it means that the product of the two measures, Value times yield or the interest income for the period will go down
抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Yield elasticity of bond value」の詳細全文を読む
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