Under continuous compounding the Macaulay duration becomes [D=frac{sum_{k=0}^{n} t_{k} e^{-lambda t_{k}} c_{k}}{P}] where $lambda$ is the yield
Question:
Under continuous compounding the Macaulay duration becomes
\[D=\frac{\sum_{k=0}^{n} t_{k} e^{-\lambda t_{k}} c_{k}}{P}\]
where $\lambda$ is the yield and
\[P=\sum_{k=0}^{n} e^{-\lambda t_{k}} c_{k}\]
Find $\mathrm{d} P / \mathrm{d} \lambda$ in terms of $D$ and $P$.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: