G14 Modified Duration Pt2 Flashcards
1
Q
what is the derivative formula for ModD?
A
ModD = -P’_i_0/P_j
2
Q
what is the SUM formula for ModD?
A
ModD = (v * SUM(t * A_t))/SUM(A_t)
3
Q
what is the relationship with b/w ModD and MacD?
A
ModD = v * MacD
4
Q
what do we know abt ModD and MacD if interest is compounded continuously?
A
ModD = MacD
MacD = -P’δ/P_δ
