Show that Macaulay-duration is a weighted average of times to maturity where the weights w n are

Question:

Show that Macaulay-duration is a weighted average of times to maturity

where the weights w_n are the fractions of the present value of the bond, represented by the n-th cashflow.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For answer-question

A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

See More Books

Question Posted: Feb 19, 2020 10:03 AM

See More Questions

Find the Macaulay duration and the modified duration of a 20-year, 10% corporate bond priced to yield 8%. According to the modified duration of this bond, how much of a price change would this bond...
A consultant suggests that the weighted-average portfolio duration calculation for a global bond portfolio is the same as for a domestic bond portfolio. a. State whether the use of portfolio duration...
Compute the Macaulay and modified duration for the same securities as in Exercise 1. Today is May 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration...
Design a plan to research and select a new or used automobile.
How many monobromination products can be obtained from each of the following polycyclic alkanes? C. b. a. O" CH3 d. CH,CH CH,CH, e.
What are the events that may occur after the preparation of Balance Sheet? Do you think that those events should be incorporated in the auditors report?
This case arose after Felix DeWeldon, a well-known sculptor and art collector, sold three paintings to Robert McKean in 1994. Felix DeWeldon declared bankruptcy in 1991. In 1992, DeWeldon, Ltd.,...
Job costing, journal entries. The University of Chicago Press is wholly owned by the university. It performs the bulk of its work for other university departments, which pay as though the press were...
A space for storing boxes is 36 inches high. Each box is 6 inches high. A space of 9 inches must be left at the top.
The planet and its moon gravitationally attract each other. Rank the forces of attraction between each pair, from greatest to least. B 2M (2m (2m d 2d
Use the banking account as a num?raire to show that has to hold. le-S" rod|/
Show that the bootstrap formula (18.49) on page 435 is equivalent to a finite difference approximation of (18.44), if the respective bonds are expressed in terms of their yield to maturity y(t, T n )...
Identify the top three most attractive B2C markets by country. Why are these countries so attractive for B2C e-commerce?
As a financial analyst, you are required to value a company which has expected earnings before interest and taxes (EBIT)of RM26 million every year beginning in one year. The depreciation is expected...
According to figures cited in Marketing 5.0: Technology for Humanity (Kotler et al., 2021) in 2020, there were close to 5 billion internet users and it is estimated that this number continues to grow...
1. Assuming the current inflation rate (see the latest CPI), what is the appropriate level of interest rates to quell inflation? 2. Should the Fed consider the effects of interest rate increases on...
Which of these are common fraud schemes involving the manipulation of long-term assets? Select all that apply. Question 6Select one or more: Improperly capitalizing inventory and startup costs...
To pay for a $23,200 fishing boat, Ashley made a down payment of $4200 and took out a loan for the rest. On the loan, she paid monthly payments of $341.42 for 5 years. (a) (b) What was the total...
Using the financial data shown in Exercise 2-17 for Big Mountain Realty Inc., prepare a statement of cash flows for the month ending June 30, 20Y9. Exercise 2-17 43,000 75,000 2,000 300 100,000 1,700...
From a medical tourist perspective, compare Shouldice with the traditional hospital in terms of the key factors of competition. Using Table 15-3, why would Shouldice attract patients from outside the...
What are the necessary steps for performing a Bonferroni post hoc comparison?
Explain what statisticians mean when they say that a Bonferroni post hoc comparison is more conservative than a Tukey HSD test.
Why would a researcher use a Bonferroni test when conducting several separate statistical analyses?
18. Lets pretend that there is no air resistance. Determine the potential and kinetic energy for a 1 kg ball dropped at a height of 200 meters at for 3 seconds. SHOW ALL WORK FOR CREDIT. Time of Ball...
a) Dato Kiritika has recently inherited RM200,000 and is considering purchasing 180 bonds of the SP Setia Corporation. The bond has a par value RM1,000 with 10 percent coupon rate and will mature in...
Briefly discuss the difference between Public Finance and Corporate Finance. (10 marks) QUESTION 2: (15 marks) a) Find the balance in an account at the end of five years if RM2,500 is deposited today...

Show that Macaulay-duration is a weighted average of times to maturity where the weights w n are

Question:

Macaulay-duration= >, wn(Tn – t), Σν.Τ n=1

Step by Step Answer:

Let P be the present value of the bond Then for each cash flow the ...View the full answer

A First Course in Quantitative Finance

Students also viewed these Business questions