Bond DV01 and duration

Описание к видео Bond DV01 and duration

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.

Комментарии

Информация по комментариям в разработке