DV01

问题如下：

A risk manager is evaluating the price sensitivity of an investment-grade callable bond using the firm’s valuation system. The table below presents information on the bond as well as on the embedded option. The current interest rate environment is flat at 4%.

The DV01 of a comparable bond with no embedded options and with the same maturity and coupon rate as the callable bond is closest to:

选项：

A.

0.00864

B.

0.01399

C.

0.01402

D.

0.02801

解释：

中文解析：

求DV01，如下图：

The call option reduces the bond price, therefore the price of the bond with no embedded options will be the sum of the callable bond price and the call option price.

Therefore, the price of the bond with no embedded options at a rate of 4.0% would be 97.8910 + 2.1090 = 100.00, the price at a rate of 3.95% would be 97.9430 + 2.1972 = 100.1402, and the price at a rate of 4.05% would be 99.8601.

DV01 is a measure of price sensitivity of a bond. To calculate the DV01, the following equation is used:

Where ∆P is the change in price and ∆y is the change in yield. Therefore,