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If a 20y bond has a DV01(Dollar Duration) of -$1705 per $1m face, and a 5y bond has a DV01 of -$440 per $1m face,
If a 20y bond has a DV01(Dollar Duration) of -$1705 per $1m face, and a 5y bond has a DV01 of -$440 per $1m face, how many of each bond should i buy or sell if I want to put on a DV01-neutral steepener spread trade in the size of $10,000 per bp?
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SOLUTION FACE VALUE 1000000 LESS 1705 2...
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Ethics in Accounting A Decision Making Approach
Authors: Gordon Klein
1st edition
1118928334, 978-1118928332
