NO.PZ2016082402000016
问题如下:
Consider the following portfolio of bonds (par amounts are in millions of USD).
What is the value of the portfolio’s DV01 (dollar value of 1 basis point)?
选项:
A.$8,019
B.$8,294
C.$8,584
D.$8,813
解释:
ANSWER: C
First, the market value of each bond is obtained by multiplying the par amount by the ratio of the market price divided by 100. Next, this is multiplied by D* to get the dollar duration DD. Summing, this gives $85,841 million. We multiply by 1,000,000 to get dollar amounts and by 0.0001 to get the DV01, which gives $8,584.