题目
Consider a 9-year bond with a semi-annual 10.0% coupon that has a current price of $119.780 and a yield of 7.000%. If the yield drops to 6.850%, the bond's price increases to $120.900. If this is the case, then which of the following is nearest to the bond's dollar value of '01 (DV01)?
选项
A.-0.0121
B.0.0121
C.0.0747
D.1.1200
答案
C
解析
DV01 = 0.0747. The price change is $120.900 - $119.780 = $1.120 given a 15 basis point drop in the yield, which is $1.120/15 = 0.0746667 per basis point. Note that strictly (technically) the DV01 is the price change associated with a decrease of one basis point. This will be almost identical the price change associated with an increase of one basis point, but it won't be exactly the same.DV01 = 0.0747。 考虑到收益率下降15个基点，价格变化为120.900美元-119.780美元= 1.120美元，即每个基点$ 1.120 / 15 = 0.0746667美元。 请注意，严格说来（技术上）DV01是指价格变动与一个基点的下降有关。 与增加一个基点相关的价格变化几乎相同，但不会完全相同。