When calculating the dollar duration of liabilities, it is PV of liabilities multiplies horizon time:USD 69,640,000 x 4 x 0.01 = USD 2,785,600
Why not use “4/(1+bond equivalent yield)” to get Modified duration?
When calculating the dollar duration of liabilities, it is PV of liabilities multiplies horizon time:USD 69,640,000 x 4 x 0.01 = USD 2,785,600
Why not use “4/(1+bond equivalent yield)” to get Modified duration?
That question is obsolete per Schweser.