garp10-p1-5

  1. S

    Dv01 garp 2010 practice question

    Hi david, I have a doubt in Q. 5. Sarah is a risk manager responsible for the fixed income portfolio of a large insurance company. The portfolio contains a 30-year zero coupon bond issued by the US Treasury (STRIPS) with a 5% yield. What is the bond’s DV01? a. 0.0161 b. 0.0665 c...
Top