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3833金融与交易中等derivationmedium

Payer DV01 Approximation II

题目

A payer swap has notional N=50000000N=50000000 and swap annuity A=7.1A=7.1. Approximate the P\\&L impact of a parallel move of -0.12\% in the market swap rate using ΔPV±NAΔS\Delta PV\approx \pm N A\,\Delta S with the appropriate sign.

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