Thread starter
#1

Hey @David Harper CFA FRM I have problem with derivative (coupon BOND) I tried to make the first derivative the second derivative but I could not get to the same results.

we have a coupon bond that matures in

The price of this obligation is : P= cF/r * (1-(1+r)^ -t)+F/(1+r)^T

Check (by rigorously justifying your calculation steps) that the dollar duration is given by

and dollar convexity

we have a coupon bond that matures in

**T**periods with as the face value,**c**is the coupon rate and rentabilite the profitability at maturity.**r**=yieldThe price of this obligation is : P= cF/r * (1-(1+r)^ -t)+F/(1+r)^T

Check (by rigorously justifying your calculation steps) that the dollar duration is given by

**DD=**cF/r^2 *( 1- 1+rT+(1+r)^ -1/(1+r)^T ) + TF/(1+r)^T+1 (dollar duration )and dollar convexity

**DC=**cF/r^3 *(2- 2*(1+rT(1+r)^ -1)+T(T+1)r^2*(1+r)^ -2 / (1+r)^T ) +T(T+1)F/(1+r)^T+2 thank you .
## Stay connected