ASSIGNMENT 3: DV01 Hedging

  • Due Sep 11, 2021 at 11:59pm
  • Points 5
  • Questions 5
  • Available after Sep 8, 2021 at 8pm
  • Time Limit 60 Minutes

Instructions

Consider the following  bonds with settlement date 13-Dec-2019

The 2.125 of 12/31/2021 with quoted price 101.314

The 1.75 of 11/15/2029 with quoted price 99.121

The 2.375 of 11/15/2049 with quoted price 102.194

Notice that the time to maturities of these bonds are approximately 2-years, 10-years, and 30-years respectively.  

You will also need the history of yields in the spreadsheet below to complete this quiz.  (Use only this data, not data from some other time period or some other source.)

Constant Maturity Series.xls

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