What is the PV01 of the following portfolio?
i. Long a 1-year ?xed coupon bond paying 4% quarterly.
ii. Long a 1.75-year ?oating rate bond paying ?oat plus 80 bps semian- nually. You know that the reference rate was set at 6% six months ago.
iii. Short a 2-year zero coupon bond.
Correct Answer:
Verified
View Answer
Unlock this answer now
Get Access to more Verified Answers free of charge
Q1: Compute the 95% VaR for the following
Q2: Use the following discount factors when needed.
Q3: What is the dollar duration of the
Q4: What is the duration of the following
Q5: Use the following discount factors when needed.
Q7: Use the following discount factors when needed.
Q8: Calculate the Modified Duration for the same
Q9: Use the following discount factors when needed.
Q10: You have two bond coupon with the
Q11: What is the PV01 of the following
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents