Dollar duration = Duration * Portfolio Value * 0.01
Reading 30 (Pg 119) When discussing the hedge ratio...
"The product of the duration and the price is the dollar duration"
My inclination is to go with the first formula, because DD is supposed to be for a specific yield change. Or is it the fact that given the nature of the hedge ratio, the 0.01 cancels out on both the numerator and denominator? Any clarification would be much appreciated.
Thanks!作者: PalacioHill 时间: 2011-7-11 15:25
Is DV01 in the curriculum?作者: wake2000 时间: 2011-7-11 15:25
It has always been Dollar duration = Duration * Portfolio Value * 0.01.
i.e., est change in the portfolio value with a change of interest rate = 1%.
Even in chapter 30 has the same def: see def in 5.3.1 section, so the sentence "The product of the duration and the price is the dollar duration" is technically incorrect, or at least not consistent with the authors' own definition.
Edited 1 time(s). Last edit at Saturday, February 12, 2011 at 07:39AM by elcfa.
