Chevs: this formula (in terms of derivation) is more advanced than what you would have learned in actsci 445. (I did no studying for that course and got 91% btw:P). The funny thing is that it really depends what you are trying to do. When you start doing stress tests u realize quickly what the issues potentially can be with that from an P&C insurance standpoint (the duration of my liabilities can change dramatically under some circumstances). But meh:P

Maybe you can throw a curve-ball at the prof and ask him. I'm *sure* he would have seen it somewhere.. but does he remember:P

btw I know the duration/convexity formulas mentioned above and am trying not to go that route:P.