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日期:2025-07-11
2 Oct 2014 ... DEC 14. DV01* ... 9/29/14 9/30/14 10/1/14 10/2/14 Rolling 30-day window 30.00
32.00 34.00 36.00 38.00 40.00 42.00 44.00 Empirical DV01....
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日期:2025-07-05
名目价值或价格变化计算,但最佳方式是依期货基点价值(DV01)进行计算。以美国
公债期货为例, 虽然. 有6%名目票息,但称不上附票息的投资工具(coupon bearing
......
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日期:2025-07-11
Definition of DV01: A bond valuation calculation showing the dollar value of a
one basis point decrease in interest rates. It shows the change in a......
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日期:2025-07-12
The DV01, measured as dollar change in price for a $100 nominal bond for a one
... The formula can also be used to calculate the DV01 of the portfolio (cf....
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日期:2025-07-08
basis point change (DV01) in the yield of the underlying security and that of the ...
case of U.S. Treasury futures, you have a hedging vehicle that derives its DV01....
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日期:2025-07-05
It is sometimes referred to as a delta or DV01. It is often used to measure the
interest rate risk associated with swap trading books, bond trading portfolios and
......
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日期:2025-07-05
Definition of DV01: A way of determining what a bond's value would be with
regard to a change in price in comparison to the decrease in yield on that bond....
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日期:2025-07-06
16 Jan 2013 ... Swap DV01. A swap dollar value of one basis point (0.01%). It refers to the
change in the present value of a swap in response to a one basis ......