Sorry made a typo for the expression in parenthesis it should be
(-yt+1)
Instead of
(-t^2 +1)
Solving for t and setting it equal to 0 I get T= 1/y.
And you are correct I did have to use both product and chain rule.
Please let me know.
Thanks,
Mahesh
Hi David,
Please see my answer below.
Differentiating DV01[zero, CC] with respect to T using chain rule, and setting it equal to 0 to find the local maximum as follows
=> ((-T^2 )+1)* F*exp(-yT)/10000 = 0
above equation is equivalent to
=> ((T^2 )-1) =0
we get t=1 (we can discard t= -1)...
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