9. For a T-year zero-coupon bond with continuously compounded yield y, compute a. Its modified duration,...
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9. For a T-year zero-coupon bond with continuously compounded yield y, compute a. Its modified duration, 1/Px dP/dy b. Its convexity, d'P/dy² c. The price, modified duration, and convexity of a 5-year zero-coupon bond with continuously compounded yield of 5%. 9. For a T-year zero-coupon bond with continuously compounded yield y, compute a. Its modified duration, 1/Px dP/dy b. Its convexity, d'P/dy² c. The price, modified duration, and convexity of a 5-year zero-coupon bond with continuously compounded yield of 5%.
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Related Book For
Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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