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Exercise 2 Consider a financial asset x which pays {10,10,10,110} at time t={0.5,1,1.5,2}. With respect to an interest rate term structure given by i (0,0.5)=11.25%,i(0,1)=11.50%,i(0,1.5)=
Exercise 2 Consider a financial asset x which pays {10,10,10,110} at time t={0.5,1,1.5,2}. With respect to an interest rate term structure given by i (0,0.5)=11.25%,i(0,1)=11.50%,i(0,1.5)= 12.05%,i(0,2)=12.70%, compute the duration of x. Exercise 2 Consider a financial asset x which pays {10,10,10,110} at time t={0.5,1,1.5,2}. With respect to an interest rate term structure given by i (0,0.5)=11.25%,i(0,1)=11.50%,i(0,1.5)= 12.05%,i(0,2)=12.70%, compute the duration of x
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