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.
This exercise is part of the course
Bond Valuation and Analysis in Python
Exercise instructions
- 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.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Find the duration of the bond
price = ____
price_up = ____
price_down = ____
duration = ____
# Find the dollar duration of the bond
dollar_duration = ____ * ____ * ____
print("Dollar Duration: ", ____)
# Find the DV01 of the bond
dv01 = ____ * ____ * ____
print("DV01: ", ____)