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Consider a financial asset x which pays (10,10,10,110) at time t-(0.5, 1, 1.5,2). With respect to an interest rate term structure given by i(0,0.5) = 11.25%, i(0,1)= 11.50 % ,i(0,1.5) = 12.05%,i(0,2)= 12.70%, compute the duration of x.

Consider a financial asset x which pays (10,10,10,110) at time t-(0.5, 1, 1.5,2). With respect to an interest rate term structure given by i(0,0.5) = 11.25%, i(0,1)= 11.50 % ,i(0,1.5) = 12.05%,i(0,2)= 12.70%, compute the duration of x.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Consider a financial asset x which pays (10,10,10,110) at time t-(0.5, 1, 1.5,2). With respect to an interest rate term structure given by i(0,0.5) = 11.25%, i(0,1)= 11.50%,(0,1.5) = 12.05% ,i(0,2)= 12.70%, compute the duration of x.
Transcribed Image Text:Consider a financial asset x which pays (10,10,10,110) at time t-(0.5, 1, 1.5,2). With respect to an interest rate term structure given by i(0,0.5) = 11.25%, i(0,1)= 11.50%,(0,1.5) = 12.05% ,i(0,2)= 12.70%, compute the duration of x.
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