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3834金融与交易中等derivationmedium

Receiver DV01 Approximation II

题目

A receiver swap has notional N=200000000N=200000000 and swap annuity A=2.4A=2.4. Approximate the P\\&L impact of a parallel move of -0.03\% in the market swap rate using ΔPV±NAΔS\Delta PV\approx \pm N A\,\Delta S with the appropriate sign.

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