题目
A 30-year bond pays a semi-annual coupon with a coupon rate of 2.0%. The bond's yield (YTM) is 7.0% and its current price is $37.64. What is the bond's dollar value of an '01 (DV01; aka, DVBP or PV01)?
选项
A.$0.01
B.$0.03
C.$0.06
D.$0.12
答案
C
解析
If we re-price the bond under a one bps drop,N = 60, I/Y = 6.99/2 = 3.495, PMT = 1, FV = 100, and CPT PV = $37.7002Then the DV01 is the (absolute value) in change in price associated with the one bps drop: 37.70 - 37.64 = $0.062如果我们将债券价格下调1个基点，N = 60, I/Y = 6.99/2 = 3.495, PMT = 1, FV = 100，CPT PV = $37.7002然后DV01是与1 bps下降相关的价格变化的（绝对值）：37.70 - 37.64 = $0.062