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Answer: C
The correct answer is C. The key rate '01 (DV01) is calculated as the negative of the price change divided by 10,000 for a 1 basis point shift. The calculation shows: -1/10,000 × (25.01254 - 25.11584) / 0.0001 = 0.103, which means the security's price decreases by 0.103 per 100 face amount for a 1 basis point increase in the 30-year rate.
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-1/10,000 (25.01254 – 25.11584) / (0.01%) = 0.103 or 25.01254 - 25.11584 = 0.103 This implies that the C-strip decreases in price by 0.103 per 100 face amount for a positive one basis point 30-year shift.
A
A
B
B
C
C
D
D
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