关于DV01 的假设

问题如下：

Which of the following assumptions are made when using DV01 as a measure of interest rate risk?

I.Changes in the interest rates are small.
II.The yield curve is flat.
III.Changes to the yield curve are parallel.
IV.The yield curve is downward sloping.

选项：

A.I and III

B.I and II

C.I and IV

D.II and III

解释：

DV01 may not be a reliable measure when interest rates changes are not small. Also, when applying DV01 we assume that the yield curve shifts are parallel.