Question
Sec 9.3, #3 A bond has Macaulay duration D(i, ) = 5.8 and Macaulay convexity C(i, ) = 1.2. Determine C(i, 4) as a function
Sec 9.3, #3 A bond has Macaulay duration D(i, ) = 5.8 and Macaulay convexity C(i, ) = 1.2. Determine C(i, 4) as a function of i. The answer is: 2.65/(1+i)^.5
Please show ALL work, no EXCEL Spreadsheets :)
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Introduction To Derivatives And Risk Management
Authors: Robert Brooks, Don M Chance
9th Edition
1133190197, 978-1133190196
