Bond DV01 and duration

Bionic Turtle
Bionic Turtle
67.4 هزار بار بازدید - 15 سال پیش - The DV01 gives us the
The DV01 gives us the dollar change in bond price for a one basis point decline in the rate. We typically assume yield (YTM) is the rate change, so as Tuckman explains this is technically a yield-based DV01; i.e., we could instead shock spot or forward rates instead.
15 سال پیش در تاریخ 1388/11/20 منتشر شده است.
67,455 بـار بازدید شده
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