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1. Find the duration and convexity of a zero coupon bond Z(t)=Z(T)er(Tt) where Z(t) is the price of the bond at time t years and
1. Find the duration and convexity of a zero coupon bond Z(t)=Z(T)er(Tt) where Z(t) is the price of the bond at time t years and Z(T) is the principal value of the bond. Find the duration and convexity when r=0.05,T=2 years and t=0.5 years Step by Step Solution
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The Concepts And Practice Of Mathematical Finance
Authors: Mark S. Joshi
2nd Edition
0521514088, 9780521514088
