14. (Duration limit) Show that the limiting value of duration as maturity is increased to infinity is

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14. (Duration limit) Show that the limiting value of duration as maturity is increased to infinity is 1+(A/m) D A. 2) we obtain D 20.5. Note that for For the bonds in Table 36 (where = 05 and large this limiting value approaches 1/m, and hence the duration for large yields tends to be relatively short

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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