Consider a 2-year bond that promises an annual yield to maturity of 3%. This bond pays coupons every six months at an annual rate of 2% and has a face value of 100 USD/bond.

Following from the previous questions: Compute the DVO1 of this bond. (Evaluate the discount rate at the yield to maturity you found earlier and apply absolute value to your resulting calculation) 0.038093 USD/bond for a 1bps change in the effective semi-annual rate 0.038088 USD/bond for a 1bps change in the effective annual rate 0.061239 USD /bond for a 1bps change in the effective semi-annual rate 0.050000 USD /bond for a 1bps change in the effective semi-annual rate Following from the previous questions: Suppose you go long 100,000 of these bonds at 98.115020 USD/bond (This is the non-arbitrage spot price corresponding to the promised YTM). Suppose that the market interest rate changes such that the effective six-month interest rate increases by 1 bps. Use the DV01 of the bond to compute your profits/losses. Your MTM profits/losses are: -3,809.3393 USD -3,809.3393 USD/bond 3,808.8726 USD 6,120.0 USD/bond Following from the previous questions: What would your MTM profits be if instead of a 1 bps change, the change would have been 3bps? -11,428.079 USD -11,428.079 USD/bond 11,426.6178 USD/bond 22,852.0 USD/bond