DV01 = Duration × Portfolio Value × 0.0001
DV01A = 2.36 × 1.0143 × $3m × 0.0001 = $718.12
DV01B = 4.13 × 0.8489 × $5m × 0.0001 = $1,752.98
DV01C = 6.27 × 1.2187 × $8m × 0.0001 = $6,113.00
Portfolio DV01 = $8,584.10
微信号:gaoduntiku
合作账户登录:
账户名:
密码:
关注官方微信
微信号:gaoduneclass
高顿网校
售前咨询(9:00-21:00)
400-168-8811
在线客服点击咨询
售后咨询(9:00-21:00)
021-31068088
fankui@gaodun.com
微信扫一扫实时资讯全掌握
Copyright © 2006- 高顿网校, All Rights Reserved.