Compare the estimated percentage price change with the actual change, assuming the yield-to-maturity jumps 100 bps to
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Compare the estimated percentage price change with the actual change, assuming the yield-to-maturity jumps 100 bps to 0.28% on that settlement date.
A Dutch bank holds a large position in a zero-coupon Federal Republic of Germany government bond maturing on 11 April 2025. The yield-to-maturity is −0.72% for settlement on 11 May 2020, stated as an effective annual rate on an Actual/Actual basis. That settlement date is 30 days into the 365-day year using this day count method.
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