Question

Question 2 Homework. Unanswered A semi-annual coupon bond has MacD of 25.3 years, yield-to-maturity of 5.3%, and price of $1135.71. What is its DV01? Answer in dollars, rounded to three decimal places. Numeric Answer: Unanswered 3 attempts left Submit Question 3 Homework Unanswered You own a bond portfolio worth $51,000. You estimate that your portfolio has an average YTM of 5.9% and a Modified Duration of 14 years. If your portfolio's average YTM were to decrease by 4 basis points, how much would the value of your portfolio change? Round to the nearest cent. [Hint: Answer is positive if the portfolio value increases and negative if the value decreases] Numeric Answer: Unanswered 3 attempts left Submit

Answer 1

Bond price = $1135.71

Modified duration = MacD / (1 + YTM / N)
= 25.3 / (1 + 0.053/2)
= 24.6469 years

DV01 = modified duration * bond price * 0.0001
= 24.6469 * $1135.71 * 0.0001
= $2.799

DV01 = $2.799

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