← 返回数学题库
3831金融与交易中等derivationmedium

Payer DV01 Approximation I

题目

A payer swap has notional N=100000000N=100000000 and swap annuity A=4.5A=4.5. Approximate the P\\&L impact of a parallel move of 0.08\% in the market swap rate using ΔPV±NAΔS\Delta PV\approx \pm N A\,\Delta S with the appropriate sign.

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案