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14. (Duration limit) Show that the limiting value of duration as maturity is increased to infinity is 1 (Alm) For the bonds in Table 36
14. (Duration limit) Show that the limiting value of duration as maturity is increased to infinity is 1 (Alm) For the bonds in Table 36 (where 05 and m 2) we obtain D 20.5 Note that for large A this limiting value approaches l/m, and hence the duration for large yields tends to be relatively short
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