duration
|
|
|
|
|
|
|
|
|
|
|
|
Zero-coupon bond:
|
|
|
|
|
|
|
|
|
|
|
Face
|
$98
|
|
|
|
|
|
|
|
|
|
Maturity
|
10.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield
|
4.0%
|
|
|
|
|
|
|
|
|
|
Duration
|
-9.62
|
|
|
|
|
|
|
|
|
|
Actual
|
-65.69
|
|
|
|
|
|
|
|
|
|
Slope
|
(631.65)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield
|
Price
|
|
|
|
|
|
|
|
|
|
4.00%
|
$65.69
|
|
|
|
|
|
|
|
|
|
3.99%
|
$65.76
|
|
|
|
|
|
|
|
|
|
DV01
|
$0.066
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Option
|
|
|
|
Option
|
|
Bond
|
|
|
|
|
Stock (S)
|
$100.00
|
|
|
Face x DV01
|
=
|
Face x DV01
|
|
|
|
|
Strike (K)
|
$100.00
|
|
|
$1,000,000
|
=
|
$256,327
|
|
|
|
|
Volatity
|
40%
|
|
|
x $0.017
|
|
x $0.066
|
|
|
|
|
Term (T)
|
5.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Write
|
|
Buy
|
|
|
|
|
Rate
|
Price
|
|
|
options
|
|
Bonds
|
|
|
|
|
4.00%
|
$41.190
|
|
Face
|
$1,000,000
|
|
$256,327
|
|
|
|
|
3.99%
|
$41.207
|
|
- 1 bps
|
($0.017)
|
|
$0.066
|
|
|
|
|
DV01
|
$0.017
|
|
|
($168)
|
|
$168
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Duration plot
|
|
|
|
|
|
|
|
|
|
|
2.0%
|
$78.32
|
|
|
|
|
|
|
|
|
|
4.0%
|
$65.69
|
|
|
|
|
|
|
|
|
|
6.0%
|
$53.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Actual Bond
|
|
|
|
|
|
|
|
|
|
|
Yield
|
Price
|
|
|
|
|
|
|
|
|
|
1%
|
$88.67
|
|
|
|
|
|
|
|
|
|
2%
|
$80.24
|
|
|
|
|
|
|
|
|
|
3%
|
$72.60
|
|
|
|
|
|
|
|
|
|
4%
|
$65.69
|
|
|
|
|
|
|
|
|
|
5%
|
$59.44
|
|
|
|
|
|
|
|
|
|
6%
|
$53.78
|
|
|
|
|
|
|
|
|
|
7%
|
$48.67
|
|
|
|
|
|
|
|
|
|
8%
|
$44.03
|
|
|
|
|
|
|
|
|
|
9%
|
$39.84
|
|
|
|
|
|
|
|
|
|
10%
|
$36.05
|
|
|
|
|
|
|
|
|
|