Exercise 4.2.8 Start with a bond whose PV is equal to the PV of a future liability
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Exercise 4.2.8 Start with a bond whose PV is equal to the PV of a future liability and whose MD exceeds the horizon. Show that, at the horizon, the bond will fall short of the liability if interest rates rise and more than meet the goal if interest rates fall. The reverse is true if the MD falls short of the horizon.
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Related Book For
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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