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3832金融与交易中等derivationmedium

Receiver DV01 Approximation I

题目

A receiver swap has notional N=80000000N=80000000 and swap annuity A=3.2A=3.2. Approximate the P\\&L impact of a parallel move of 0.05\% in the market swap rate using ΔPV±NAΔS\Delta PV\approx \pm N A\,\Delta S with the appropriate sign.

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