Question
Show that CV = D2 OD ay holds, independent of the compounding method, where Cy is the convexity, D is the mod- ified duration, and
Show that CV = D2 OD ay holds, independent of the compounding method, where Cy is the convexity, D is the mod- ified duration, and y is the yield? Consider an annual coupon bond with face value $100, coupon rate 8%, yield 8.3%?
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We are unable to determine the precise degree of convexity since the optionadjusted s...
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Fundamentals Of Corporate Finance
Authors: Richard A. Brealey, Stewart C. Myers, Alan J. Marcus
11th Edition
1264101562, 978-1264101566
