Taylor's series

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Taylor's series
Message posted by R. Raghavan on February 25, 2000 at 12:00 AM (ET)

Hi friends, I would like to have to Taylor's series expansion formula which is widely used in finding our modified duration and convexity of fixed income securities.

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Re: Taylor's series
Message posted by Jack Tomsky on February 28, 2000 at 12:00 AM (ET)

I'm not sure what your question is, but the Taylor series for an analytic function of k variables (up to the quadratic terms) is

f(X1, ..., Xk) ~ f(X10, ..., Xk0) + Sumi [(df/dXi)*(Xi-Xi0)] + Sumi Sumj [(d2f/dXidXj)*(Xi-Xi0)*(Xj-Xj0)/2!]

Re: Taylor's series
Message posted by Jack Tomsky on February 28, 2000 at 12:00 AM (ET)

I'm not sure what your question is, but the Taylor series for an analytic function of k variables (up to the quadratic terms) is

f(X1, ..., Xk) ~ f(X10, ..., Xk0) + Sumi [(df/dXi)*(Xi-Xi0)] + Sumi Sumj [(d2f/dXidXj)*(Xi-Xi0)*(Xj-Xj0)/2!]

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