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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Mathematical Techniques In Finance An Introduction Wiley Finance

ISBN: 9781119838401

1st Edition

Authors: Amir Sadr

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Question Posted: Feb 27, 2024 03:10 AM

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For a (T)-year zero-coupon bond with continuously compounded yield (y), compute (a) Its modified duration, (1 /

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Solution a Modified Duration The modified duration of a zerocoupon bond with continuously comp...View the full answer

Mathematical Techniques In Finance An Introduction Wiley Finance

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