A semi-annual coupon bond has MacD of 25.6 years, yield-to-maturity of 5.1%, and price of $1146.43. What is its DV01? Answer in dollars, rounded to three decimal places.
Modified duration = MacD / (1 + YTM / N)
= 25.6 / (1 + 0.051 / 2)
= 24.9634 Years
DV01 = modified duration * bond price * 0.0001
= 24.9634 * $1146.43 * 0.0001
= 2.862 years.
DV01 = 2.862 Years
A semi-annual coupon bond has MacD of 25.6 years, yield-to-maturity of 5.1%, and price of $1146.43....
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