题目
Under semi-annual compounding, what is the DV01 of a $100 face value 10-year zero-coupon bond with a yield of 8.0%?
选项
A.$0.044
B.$0.099
C.$0.152
D.$0.227
答案
A
解析
Macaulay duration = 10 years, such that modified duration = 10/(1 8%/2) = 9.615385.Price of bond = $45.6387; DV01 = modified duration × Price /10,000 = 9.615385 × $45.6387 / 10000 = $0.043883Alternatively, we can re-price the bond @ yield = 7.99%, such that DV01 = $45.6826 - $45.6387 = $0.043906. Macaulay duration = 10 years modified duration =10/(1 (8%)/2)=9.615385. Price of bond = $45.6387; DV01 = modified duration × Price /10,000 = 9.615385 ×$45.6387 / 10000 = $0.043883 或者，我们可以对债券重新定价@ yield= 7.99%, such that D01= $45.6826 - $45.6387 = $0.043906.