Question
A bond priced at $95-16 has a modified duration of 6.5 years. (a) What is the DV 01 per $1,000,000 for the bond? (b) Suppose
A bond priced at $95-16 has a modified duration of 6.5 years.
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(a) What is the DV 01 per $1,000,000 for the bond?
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(b) Suppose you have a $75,000,000 position and yields rise 12 bps, ignoring convexity, what is the estimated change in the value of the position?
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Foundations Of Financial Management
Authors: Stanley B Block, Geoffrey A Hirt
12th Edition
0073295817, 9780073295817
