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Here is my understanding of your question, I might have oversimplified your problem, and made some hypothesis that were not yours. Assuming we are talking about a bond paying $1$ each day until $T$ or default event if occuring before $T$. Let's write the risky coupon bond payment in a continous time manner: $$\int_0^T \mathbb{1}_{\tau>t} dt$$ with ...


Ok, so I think you are just asking what is the dv01 of the bond. So if the yield goes up one bp what's the new price? And if it goes down, what's the new price? That's the simple way that people look at it. For a bond that can't be called or converted in any way it's pretty easy. Let's assume that's what you have. Here's the process: So first you ...


There are different measures and interpretations of duration. One, as has been pointed out already, has a formula weighting coupons and final contractual cashflow. Other definitions of duration take a broader perspective and relate it to the interest rate sensitivity of the security and not to a particular formula. These go by names such as effective or ...


Ditto to Larasing. Any bond's duration is just a matter of coupon, price, discount rate. Credit risk does not factor into this equation.


Discount factors>1 is not impossible. It just means that rates are negative, which is indeed the case in several Government bond markets in Europe.

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