Exercise

Percent duration and dollar duration

Dollar duration and DV01 are more commonly used in the real world to quickly measure the interest rate risk of a bond or portfolio. They can also be used for other financial instruments that contain some interest rate risk.

In this exercise, you are going to find the dollar duration and DV01 of a bond. The bond has a 30 year maturity, coupon rate of 3.5%, yield to maturity of 5%, and face value of USD 100.

numpy_financial has already imported for you as npf.

Instructions

100 XP

Find the duration of a 30 year bond with a coupon rate of 3.5% and yield of 5% in the usual way.
Find the dollar duration of the bond.
Find the DV01 of the bond.