Describe the concept of DV01, the dollar value of a one-basis-point decrease (in original and term structure

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Describe the concept of DV01, the dollar value of a one-basis-point decrease (in original and term structure variations) and the concept of duration (in MacAuley, modified, and present value variations).

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Financial Markets And Corporate Strategy

ISBN: 9780077119027

1st Edition

Authors: David Hillier, Mark Grinblatt, Sheridan Titman

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