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See 100 basis points = 1% = 0.01
so 25 basis points = .25% = .0025
Therefore in the prob you mentioned, 50bp = .5%
Calculate the PV when the yield is decreased by .5% (I/Y = 8.75%)and PV when yield is increased by .5%(I/Y = 9.75%) and then use the Effective duration formula.
In the Eff Dur formula, sub .005 for (delta y) or change in yield. |
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发表于 2013-4-1 12:23
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