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(5) The value of a bond with cash flows ci,i=1:n, at time ti,i=1:n, and yield y (discretely compounded m times a year) is B(y)=i=1nci(1+my)mti. The
(5) The value of a bond with cash flows ci,i=1:n, at time ti,i=1:n, and yield y (discretely compounded m times a year) is B(y)=i=1nci(1+my)mti. The modified duration and Macaulay duration of the bond are, respectively: DmodDMac=B1yB=i=1nci(1+my)mtii=1ntici(1+my)mti. Show that Dmod=1+myDMac Step by Step Solution
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Personal Finance Terms Financial Education Is Your Best Investment
Authors: Thomas Herold
1st Edition
1090822871, 978-1090822871
