Prove that if the present value of a cash flow is represented by PV (cash flow)
Question:
Prove that if the present value of a cash flow is represented by PV (cash flow) exp(rtt)
and for all t’s, rt shifts up by a constant , the derivative of the percentage change in the bond’s price with respect to equals the negative of present value duration; that is
(present value) DUR
1 P dP dAppendixLO1
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Financial Markets And Corporate Strategy
ISBN: 9780077119027
1st Edition
Authors: David Hillier, Mark Grinblatt, Sheridan Titman
Question Posted: