Solved

What Is the PV01 of the Following Portfolio

Question 9

Short Answer

What is the PV01 of the following portfolio?
i. Long a 2-year ?xed coupon bond paying 7% quarterly.
ii. Short three 1.25-year ?oating rate bonds paying ?oat plus 80 bps semiannually. You know that the reference rate was set at 7% six months ago.
iii. Short two 0.5-year zero coupon bonds.

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q4: What is the dollar duration of the

Q5: You have two bond coupon with the

Q6: Calculate the MacCaulay Duration for the following

Q7: Suppose that you calculate VaR from Duration.

Q8: What is the dollar duration of the

Q10: Use the following discount factors when needed.

Q11: What is the PV01 of the following

Q12: Use the following discount factors when needed.

Q13: Use the following discount factors when needed.

Q14: What is the dollar duration of the