Level 3 - Duration

For level 3 fixed income part, does the duration all refer to “effective duration”? Or still have chance to be macaulay duration or modified duration? Many thanks!

Regards, Frank

I doubt on the exam that it will matter. If you ever had to choose, that would be the point of the question rather than a curveball in some bigger question. That said, this is my first time writing L3 and can’t say for sure :stuck_out_tongue:

In fact, they’re pretty sloppy about it. In immunization, for example, they’ll mix effective (or modified) duration and Macaulay duration.

You won’t need to worry about it on the exam.

Noted. Thank you. It’s interesting to know L3’s definition is sloppier than L1:)

My pleasure.

Thanks for the confirmation.

You’re quite welcome.