In Example 2.33 we assume discrete-time compounding of interest. This results in the need for introducing modified
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In Example 2.33 we assume discrete-time compounding of interest. This results in the need for introducing modified duration, in Eq. (2.19), to get rid of an annoying factor 1 + y, where y is yield to maturity. Compute bond duration when assuming continuous-time compounding, at yield yc, and show that this correction is not necessary in this case.
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Quantitative Methods An Introduction For Business Management
ISBN: 1579
1st Edition
Authors: Paolo Brandimarte
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