NO.PZ2019070101000046
问题如下:
A bond has a par of $100 and a coupon rate of 6% paid semiannually. The bond has a YTM of 8% and a maturity of 10 years. The dollar value of a basis point (DV01) of the bond is closest to:
选项:
A.0.0619
B.0.0675.
C.0.0543.
D.0.0765.
解释:
A is correct
考点:Bond Duration-DV01
解析:
当前债券的价格为:
N=10×2=20; I/Y=8/2=4; PMT=3; FV=100;
CPT PV=-86.4096
如果利率上涨0.01%,债券的价格为:
N=10×2=20; I/Y=8.01/2=4.005%; PMT=6/2=3; FV=100;
CPT PV=-86.3478
如果利率下跌0.01%,债券的价格为:
N=10×2=20; I/Y=7.99/2=3.995%; PMT=6/2=3; FV=100;
CPT PV=-86.4716
DV01=|86.3478-86.4716|/2=0.0619
老师好,请问DV01的公式除了“D*P*0.0001”和上图中右下角写的用△BV来算的公式,哪里讲到过本题答案这种公式呀?