Verify that DerivaGem agrees with the price of the bond in Section 4.6. Test how well DV01
Question:
Verify that DerivaGem agrees with the price of the bond in Section 4.6. Test how well DV01 predicts the effect of a one-basis point increase in all rates. Estimate the duration of the bond from DV01. Use DV01 and Gamma to predict the effect of a 200 basis point increase in all rates. Use Gamma to estimate the bond's convexity.
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In the Bond Price worksheet we input a principal of 100 a life of 2 years a coupon rate of 6 and sem...View the full answer
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