to find dv01

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Joined: Sat Apr 26, 2014 7:29 am

to find dv01

Postby sessiljoseph » Thu May 01, 2014 8:14 am

Assume a ZERO-COUPON bond with par value of $100 an yield (YTM) of 6%.
If the maturity is twenty years (20 years), find the DV01.
how can u solve this problem
my another doubt is will maculay duration of a zero coupon par bond will it be 20 yrs or
will it not be 20yrs

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Posts: 981
Joined: Wed Apr 09, 2014 6:28 am

to find dv01

Postby edupristine » Thu May 01, 2014 9:17 am

Macaulay duration is always equal to term to maturity for every zero coupon.


Macaulay duration is 20.
Modified duration = 20/(1.03) [ because zero coupon bonds compounded semi anually] = 19.41
Present value of bond = 30.655
DV01 = 30.655*19.41/10000 = .059526

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