Modified duration

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  • After completing this topic, you should be able to: Value bonds and compute yield to maturity; compute the sensitivity of bond prices with respect to changes in interest rates using duration and convexity and VaR; compute the VaR of a bond using duration and convexity; understand the duration and convexity of mortgages; use Excel’s built-in bond functions.

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  • The market in bond market securities, also known as the fixedincome market, is incredibly large and diverse, and one that plays an irreplaceable part in global economic development. The vast majority of securities in the world today are debt instruments, with outstanding volume estimated at more than $10 trillion. Fixed-Income Securities and Derivatives Handbook provides a concise and accessible description of the main elements of the markets, concentrating on the instruments used and their applications.

    pdf376p vigro23 24-08-2012 45 16   Download

  • Purpose: –Using the Process Editor to create a modified version of the sink process model. –Adding a new statistic to compute ETE delay. Overview: 1. Create modified sink process model to compute ETE delay. 2. When there is a packet arrival, get the packet, obtain the creation time, write out its ETE delay as a global statistic and destroy the packet. 3. Incorporate new sink process model into existing node model. 4. Create ETE delay statistic probe. 4. Run simulation for a duration of 2,000 seconds to ensure convergence. 5. Filter the “View Results” graphs to answer questions....

    doc7p g16bit 11-07-2010 120 59   Download

  • We value stock options based on the Black-Scholes (1973) formula for valuing European call options, as modified by Merton (1973). 5 To construct a measure of the total stock option holdings of each CEO at a given point in time, we use proxy data on stock option grants, gains from exercising stock options, and the total number of stock options held by the CEO. Annual proxies contain information on options granted during the preceding fiscal year, including the number, duration, and exercise price of the options.

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  • (BQ) In this research, an iso duration current pulse generator has been proposed to achieve good surface finish. An experimental performance evaluation has been conducted with conventional transistor pulse train generator and modified iso current pulse generator by Taguchi L27 orthogonal array design. The machining characteristics have been evaluated for both the pulse generators. It is found the that modified iso duration current pulse generator has produced better surface quality with higher material removal rate than the conventional transistor pulse train generator.

    pdf8p xuanphuongdhts 27-03-2017 0 0   Download

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