Exercise 4.2.9 Consider a liability currently immunized by a coupon bond. Suppose that the interest rate changes

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Exercise 4.2.9 Consider a liability currently immunized by a coupon bond. Suppose that the interest rate changes instantaneously. Prove that profits will be generated when rebalancing is performed at time t from now (but before the maturity).

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 4.2.9 Consider a liability currently immunized by a coupon bond. Suppose that the interest rate changes

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Financial Engineering And Computation Principles Mathematics Algorithms

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