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Question 11 September 2008 (Booklet 6, pag 55)

S

sir_highbury

Member
Dear Madam/Sir,
could you please explain me the steps to get to the PVL' = -1715531.4, i.e. how the derivate is calculated?
Thanks and best regards,
SH
 
I'm not sure that your question reference is quite right here. Question 9 from CT1 April 2009 asks for spot and forward rates, which don't involve calculating derivatives. Please can you double check the question number?
 
Hi Lucy, thanks for your answer.
My mistake, I meant page 55 of the booklet 6 related to September 2008 question 11. I updated the tile accordingly.
 
The PVL' is the derivative of PVL calculated with respect to the interest rate, i.

So we're taking PVL = 400,000 * (1+i)^(-10) and calculating the first derivative, i.e. 400,000 * (1+i)^(-11) * (-10)

I hope this helps!
 
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