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4 votes

Strange Market Data YTM for a Zero Coupon Bond

This bond has a slightly different calculation logic to your average zero coupon bond. Denote $t$ the trade date, $t_0$ the issue date, $T$ the maturity date and $P$ the traded price. You'll first ...
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0 votes

Units of Modified Duration and Macauley Duration

Wow - the dangers of using OTT maths to wrongly explain a simple question. Original poster correctly stated that Mod Duration is unitless and wanted it explained yet this maths answer contradicts it. ...
0 votes

Questions about the replicating portfolio in the binomial model

Here are some answers, hope it helps: Regarding question 1, Do we need to replicate the derivative security using the underlying security $S$? I think the answer is related to your other question: ...

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