DURATION MOMENTS AND YIELD CURVE MOVEMENTS
分析现金流价值与久期矩之间的关系，证明收益率曲线特定变化下净现值的一阶和二阶变动分别依赖于不同阶次的久期矩，并利用该关系调整追踪组合以抵御特定曲线变动。
In this paper we will analyze the relationship between the value and duration moments of a cash flow and movements in the yield curve. We will show that for changes in the yield curve which can be related to t n , the 1st order changes in the net present value of a cash flow are linearly dependent on the n + lth duration moments, and that the 2nd order changes are dependent on the sum of duration moments of order 2 n + 1 and 2 n + 2. We will use this relationship to tilt tracking portfolios so as to protect them against specific changes in the yield curve.