Bond DV01 (FRM LO 23.1)

Dollar value of an 01 (DV01; aka, price value of a basis point)

Par

$100.00

$100.00

Coupon

5.00%

5.00%

Maturity (yrs)

5

30

Initial Yield

5.00%

5.00%

Initial price

$100.0000 

$100.0000 

Shock up + 1 bps

Yield

4.99%

4.99%

Price

$100.0438 

$100.1547 

DV01

$0.0438 

$0.1547 

Shock down - 1 bps

Yield

5.01%

5.01%

Price

$99.9563 

$99.8456 

DV01

$0.0437 

$0.1544