Question
Consider a 2 year bond with 10% semi-annual coupon payments. Assume that its yield is equal to 10%.AssumeF= 100 for face value. (a) Take the
Consider a 2 year bond with 10% semi-annual coupon payments. Assume that its yield is equal to 10%.AssumeF= 100 for face value.
(a) Take the first derivative of the bond price with respect to yield.
(b) Calculate the first derivative by using price and duration. Check that you obtain the same result as in (a).
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Principles of Auditing and Other Assurance Services
Authors: Ray Whittington, Kurt Pany
19th edition
978-0077804770, 78025613, 77804775, 978-0078025617
