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READING 61: ONE-FACTOR RISK METRICS AND HEDGES #71

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/02/reading-61-one-factor-risk-metrics-and.html#more

Grefer commented 4 years ago

The YTM of bond that traded at par is equal to the coupon rate!

Grefer commented 4 years ago

DV01 = duration × 0.0001 × bond value

Grefer commented 4 years ago

For zero-coupon bond, the duration is approximately same as maturity !!!