Prove that if the present value of a cash flow is represented by PV (cash flow)

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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

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Financial Markets And Corporate Strategy

ISBN: 9780077119027

1st Edition

Authors: David Hillier, Mark Grinblatt, Sheridan Titman

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