Question
The pricePtoday of a $80,000182-day Canadian T-Bill with quoted yield of 8.93% is $76589.64. a) FinddP/di , the derivative of the previous result from Problem
The pricePtoday of a $80,000182-day Canadian T-Bill with quoted yield of 8.93% is $76589.64.
a) FinddP/di , the derivative of the previous result from Problem #4 above, with respect to the quoted yield i. Use this derivative to approximate the change in the price of the T-Bill if the yield were to have decreased by 0.002 (i.e. 0.2%) immediately after the T-Bill was purchased.
b) What value does dP/di approach as one gets closer and closer to the maturity date?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
15th edition
1337671002, 978-1337395250
