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6. MODULE 04 - DURATION
Duration and Tangent /4 (1) face value (1) (1) (1) (1) (1) DD T T T F PFY dP TFY dY FP TT Y YY dP PY dY − −+ = =⋅+ =−⋅⋅+ =− =− + ++ ≅ Module 04 - Slide 6. Giorgio S. Questa Page 2 of 14
7. Chapter 9 Duration Metrics
Dollar duration of a zero coupon bond $ $ $ (1) 1 T PFY dP P DT dY Y PDY D ∆∆ − =+ ==− + ≈ =dollar duration 9.1.4 - The duration number The derivative of the price/yield function is negative ...
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