A 10-year bond has a coupon of 3% and a duration of 9. A 5-year bond has a coupon of 2% and a duration of 4.75. What is the 5 year into 5 year forward rate? Please use just the information above. Think about key concepts from class and apply them. Class slide notes. DV01 of a 10-year bond is DV01 Year 1 +DVO1 Year 2 + ... + DV01 Year 10 We can use this to calculate forwards DV01 of a 2-year bond = DV01 of 1 year bond + DV01 of 1 year into 1 year bond DVO1 x coupon = value in PV terms of coupon PV of a 2-year bond coupon of 2% = 200 x DV01 of 2-year bond PV of 1-year bond coupon of 1% = 100 x DV01 of 1-year bond PV 1y1y Forward Bond = PV 2-year bond - PV 1-year bond 1y1y Fwd PV = PV 2-year bond - PV 1-year bond 1yly Fwd PV = 1y1y Fwd Rate x 1y1y DV01 1y1y Fwd = (PV 2-year bond - PV 1-year bond)/1y1y DVO1