Exercise . (Time-denominated duration for non-bonds) Assume that interest rates follow the Vasicek model. Can you define
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Exercise . (Time-denominated duration for non-bonds) Assume that interest rates follow the Vasicek model. Can you define the time-denominated duration for any bond futures or European bond option? If so, derive the time-denominated duration for these assets.
Exercise . (Time-denominated duration in CIR) Show Equation (.).
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