题目5767 · 金融与交易
DV01 From Duration And Price
A bond trades at 98.4 (per 100 face) with modified duration 5.8. What is its DV01 (the price change for a 1-basis-point yield move) per 100 face?
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中文题目题目3831 · 金融与交易
Payer DV01 Approximation I
A payer swap has notional $N=100000000$ and swap annuity $A=4.5$. Approximate the P\\&L impact of a parallel move of 0.08\% in the market swap rate using $\Delta PV\approx \pm N A\,\Delta S$ with the appropriate sign.
打开 →题目3833 · 金融与交易
Payer DV01 Approximation II
A payer swap has notional $N=50000000$ and swap annuity $A=7.1$. Approximate the P\\&L impact of a parallel move of -0.12\% in the market swap rate using $\Delta PV\approx \pm N A\,\Delta S$ with the appropriate sign.
打开 →题目3832 · 金融与交易
Receiver DV01 Approximation I
A receiver swap has notional $N=80000000$ and swap annuity $A=3.2$. Approximate the P\\&L impact of a parallel move of 0.05\% in the market swap rate using $\Delta PV\approx \pm N A\,\Delta S$ with the appropriate sign.
打开 →题目3834 · 金融与交易
Receiver DV01 Approximation II
A receiver swap has notional $N=200000000$ and swap annuity $A=2.4$. Approximate the P\\&L impact of a parallel move of -0.03\% in the market swap rate using $\Delta PV\approx \pm N A\,\Delta S$ with the appropriate sign.
打开 →题目5140 · 金融与交易
Why DV01 Is Useful
Why do traders often talk in DV01 rather than only in duration?
打开 →题目1409 · 脑筋急转弯
Treasury DV01 1
A bond desk approximates 1 bp PnL by -duration * notional * 0.0001. If modified duration is 7.9 and notional is $500 million, what is the approximate 1 bp PnL?
打开 →题目3830 · 金融与交易
Which Swap Is More Rate-Sensitive
Two otherwise identical payer swaps differ only in swap annuity: one has annuity 2.5 and the other 6.0. Which one has the larger DV01 in magnitude?
打开 →题目3838 · 金融与交易
Why the Annuity Matters So Much
Why does the swap annuity show up everywhere in swap valuation and DV01 calculations?
打开 →题目1402 · 脑筋急转弯
Exchange Fee Pool 2
A desk proxy for daily transaction fee revenue is shares traded * fee per share. If the total is $3.22 million and shares traded is 9200000000, what fee per share is implied?
打开 →题目3840 · 金融与交易
How to Sanity-Check a Swap Number
What is a fast sanity check when someone hands you a swap rate or swap MTM number on the desk?
打开 →题目3826 · 金融与交易
Payer Swap After Rates Rise
A payer swap has fixed coupon 3.00\%. The current par swap rate has moved up to 3.60\%. Is the position positive, negative, or near zero to the payer?
打开 →题目3827 · 金融与交易
Receiver Swap After Rates Fall
A receiver swap has fixed coupon 4.20\%. The current par swap rate has dropped to 3.50\%. Is the position positive, negative, or near zero to the receiver?
打开 →题目3828 · 金融与交易
Who Benefits If Current Par Exceeds Contract Fixed
If the current par swap rate is above the contract fixed coupon, which side benefits: payer fixed or receiver fixed?
打开 →题目3829 · 金融与交易
Who Benefits If Current Par Is Below Contract Fixed
If the current par swap rate is below the contract fixed coupon, which side benefits?
打开 →题目3836 · 金融与交易
Why a Par Swap Starts at Zero Value
Why does a newly initiated par swap start with zero market value to both sides?
打开 →题目3837 · 金融与交易
Why Payer Swaps Like Rising Rates
What is the simplest economic intuition for why a payer swap benefits from rising market swap rates?
打开 →题目3839 · 金融与交易
Why Swap MTM Is Almost Linear in Rate Difference
Why is the mark-to-market of a vanilla swap often well approximated by annuity times the gap between market and contract fixed rates?
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