For a (T)-year zero-coupon bond with continuously compounded yield (y), compute (a) Its modified duration, (1 /
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For a \(T\)-year zero-coupon bond with continuously compounded yield \(y\), compute
(a) Its modified duration, \(1 / P \times d P / d y\)
(b) Its convexity, \(d^{2} P / d y^{2}\)
(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
Mathematical Techniques In Finance An Introduction Wiley Finance
ISBN: 9781119838401
1st Edition
Authors: Amir Sadr
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