问题如下:
A bond has a par of $100 and a coupon rate of 6% paid semiannually. The bond has a YTM of 8% and a maturity of 10 years. The dollar value of a basis point (DV01) of the bond is closest to:
选项:
A. 0.0619
B. 0.0675.
C. 0.0543.
D. 0.0765.
解释:
A is correct
考点:Bond Duration-DV01
解析:
当前债券的价格为:
N=10×2=20; I/Y=8/2=4; PMT=3; FV=100;
CPT PV=-86.4096
如果利率上涨0.01%,债券的价格为:
N=10×2=20; I/Y=8.01/2=4.005%; PMT=6/2=3; FV=100;
CPT PV=-86.3478
如果利率下跌0.01%,债券的价格为:
N=10×2=20; I/Y=7.99/2=3.995%; PMT=6/2=3; FV=100;
CPT PV=-86.4716
DV01=|86.3478-86.4716|/2=0.0619
请问这个是有相关的公式吗?为什么要算上升和下降,再除以2?