Question
Q: Calculate the dollar value of a basis point ( DV01 ) of a 3year annual-pay par bond in a 5% yield environment. DV01 is
Q: Calculate the dollar value of a basis point ( DV01 ) of a 3year annual-pay par bond in a 5% yield environment.
DV01 is defined as = - 1/10000*(dP/dY)
where - (dP/dY) is the dollar duration of Price - yield
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International Financial Management
Authors: Cheol Eun, Bruce Resnick
7th Edition
0077861604, 9780077861605
