Question
What is duration, i.e. McCauley duration and what is modified duration? As we know the duration - the first derivative of price by YTM. How
What is duration, i.e. McCauley duration and what is modified duration?
As we know the duration - the first derivative of price by YTM. How would you describe the convexity notion - as the second derivative in this case?
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International Financial Reporting And Analysis
Authors: David Alexander, Ann Jorissen, Martin Hoogendoorn
8th Edition
978-1473766853, 1473766850
