A fixed-interest investment has price 145 and duration 4.3 years at i = 5.64% per annum. Calculate

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A fixed-interest investment has price £145 and duration 4.3 years at i = 5.64% per annum. Calculate an approximation to price in the following situations.

a. The required return, expressed as continuously compounding rate of interest, moves to 6% per annum.

b. The required return, expressed as compounding rate of interest, moves to 5% per annum.

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Introduction To Actuarial And Financial Mathematical Methods

ISBN: 9780128001561

1st Edition

Authors: Stephen Garrett

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Question Posted: Dec 04, 2023 08:09 AM

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A fixed-interest investment has price 145 and duration 4.3 years at i = 5.64% per annum. Calculate

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a We have a change in 8 and so work in terms of duration ...View the full answer

Introduction To Actuarial And Financial Mathematical Methods

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