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Fixed Income Securities, 4th Edition
book

Fixed Income Securities, 4th Edition

by Bruce Tuckman, Angel Serrat
September 2022
Beginner content levelBeginner
560 pages
17h 36m
English
Wiley
Content preview from Fixed Income Securities, 4th Edition

APPENDIX TO CHAPTER 2Swap, Spot, and Forward Rates

A2.1 CONTINUOUS COMPOUNDING

Equation (2.7) gives the proceeds of investing upper F for upper N periods at the rate ModifyingAbove r With caret, which is compounded n times per year. By the definition of n, there are n upper T periods over upper T years. Therefore, with upper F equals 1, (2.7) becomes,

Under continuous compounding, interest is paid every instant, so that the proceeds of an investment that is continuously compounded over upper T years grows to the limit of Equation (A2.1) as approaches infinity. Taking ...

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ISBN: 9781119835554Purchase Link