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Calculation of macaulay duration and Modified duration
Hi, I am confused on the difference in how John Hull (John Hull Example 4.6) and Tuckman (Tuckman Table 4.6) calculates their Macaulay duration in order to determine the modified duration. In John Hull's example, he uses continuous compounding to determine present value of the cash flows and...- nickkl
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- macaulay-duration modified-duration
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- Forum: P1.T4. Valuation & Risk Models