Show that Cy = D2. aD holds, independent of the compounding method, where Cy is the convexity, D is the mod- ified duration, and y is the yield.

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Show that
aD
Cy = D2
holds, independent of the compounding method, where Cy is the convexity, D is the mod-
ified duration, and y is the yield.
Transcribed Image Text:Show that aD Cy = D2 holds, independent of the compounding method, where Cy is the convexity, D is the mod- ified duration, and y is the yield.
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