Show that your numerical answers converge to the formula

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Question: What is the effect on a bond ' s duration of increasing the bond ' s maturity? As in the previous example, use a numerical example and plot the answer. Note that as N → ∞ , the bond becomes a consol (a bond that has no repayment of principal but an infinite stream of coupon payments). The duration of a consol is given by (1 + YTM ) / YTM . Show that your numerical answers converge to this formula.

Reference no: EM131453875

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