A semi-annual coupon bond has MacD of 27.0 years, yield-to-maturity of 4.0%, and price of $1200.00. What is its DV01? Answer in dollars, rounded to three decimal places.
Macaulay Duration = 27 years
Modified Duration = 27/1.04 = 25.96 years
DV01 = Modified Duration(Price)/10,000
DV01 = 25.96(1,200)/10,000
DV01 = $3.115
A semi-annual coupon bond has MacD of 27.0 years, yield-to-maturity of 4.0%, and price of $1200.00....
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