Recently Featured | Most Discussed | Most Recent | Most Responded | Most Viewed | Top Favorites | Top Rated | TV Serials | Trailers | Recently Watched
Dollar duration of zero coupon bond
This ad will close in 15 seconds
Rate:

9 ratings
Views:
5,035
From : bionicturtledotcom
Added: Feb 26, 2009
Here I use Mathetmatica to illustrate how the first derivative of the price of a zero-coupon bond (with respect to yield) is the dollar duration of the bond. Notice that the first derivative, as the slope of the tangent line, is not the same thing as "duration." Rather, the first derivative is the dollar duration and it is "infected" by the bond's price. That means, in this case (i.e., continuous compounding), we can divide out the price to get the modified duration (30 for a zero coupon bond with 30 year maturity).
Category : Howto
Added: Feb 26, 2009
Here I use Mathetmatica to illustrate how the first derivative of the price of a zero-coupon bond (with respect to yield) is the dollar duration of the bond. Notice that the first derivative, as the slope of the tangent line, is not the same thing as "duration." Rather, the first derivative is the dollar duration and it is "infected" by the bond's price. That means, in this case (i.e., continuous compounding), we can divide out the price to get the modified duration (30 for a zero coupon bond with 30 year maturity).
Category : Howto
Related Videos

Video Categories:
Also Try:










