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Thanks very much, that make it much more clear. It sounds the same to me as calculating DV01 using key rates. Is there any difference ?

Hi Bionic Turtle, I'm having trouble understanding Partial PV01; and haven't found anything helpful on Google so far. In the source reading Tuckman says "More specifically, the partial ’01 with respect to a particular fitted rate is defined as the change in the value of the portfolio after a...

Awesome, thanks.

Hi David, Are you saying the idea is you create a portfolios with X% of a lower coupon bond (B1) and (1-X)% of a higher coupon bond (B2) to replicate a bond with a coupon between B1 and B2 ?

Thanks for the link David, I didn't think to search for "law of one price". Is it possible to solve something like the below(expanding on the example you gave in the other post) ? Coupon ----Price 2 - 7/8 ---- 98.40 4 - 1/2 ---- 99.80 6 - 1/4 ---- 101.30 7 - 1/4------- ??? Where the above...

Hello, I've seen examples on how to setup a "replicating portfolio" to solve for the price of a bond with a known coupon rate given 2 other bonds with known prices and known coupons rates which pay on the same date annually. Can someone provide an example using 3 or more known bonds ? I have a...

Sweet, thanks.

Hello BionicTurtle, I want to calculate the implied 6 month forward rate starting 6 months from now given the 1 year spot and 6 month spot, but am not very clear on how to do this. Is this correct ? [ (1 + 1 year spot) / (1 + 6 month spot)^.5 ] -1 My thinking is if I invest for 1 year upfront at...