10:53 (1.5X)
请问如果没有给加减30bp的价格该怎么求对应的债券价格， 当前的债券价格也不知道呀
pzqa39 · 2024年05月08日
嗨，爱思考的PZer你好：
先求出V- V+， 具体如何求 可以参考这道题
Consider a zero-coupon bond with a face value of USD 100 and a maturity of ten years. What is the DV01 and the effective duration when the ten-year rate is 4% with semi-annual compounding? (Consider one-basis-point changes and measure rates as decimals when calculating duration.)
题目问：一个零息债券的面值是100USD，期限是10年，当利率是4%，半年付息一次时，DV01和effective duration是多少？
债券的价格V0=100/(1+4%/2)^(10*2)=67.297133
当利率上升1bp到4.01%时，债券价格V+=100/(1+4.01%/2)^(10*2)=67.23119
价格下降0.065944
当利率下降1bp到3.99%时，债券价格V-=100/(1+3.99%/2)^(10*2)=67.36314
价格上升0.066012
DV01=（0.065944 + 0.066012）= 0.065978
effective duration=0.065978/(67.297133×0.0001)=9.804
----------------------------------------------努力的时光都是限量版，加油！