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

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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 $P$.

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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