If a 20y bond has a DV01(Dollar Duration) of -$1705 per $1m face, and a 5y bond

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If a 20y bond has a DV01(Dollar Duration) of -$1705 per $1m face, and a 5y bond has a DV01 of -$440 per $1m face, how many of each bond should i buy or sell if I want to put on a DV01-neutral steepener spread trade in the size of $10,000 per bp?

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Ethics in Accounting A Decision Making Approach

ISBN: 978-1118928332

1st edition

Authors: Gordon Klein

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Posted Date: Oct 20, 2020 09:48 PM

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If a 20y bond has a DV01(Dollar Duration) of -$1705 per $1m face, and a 5y bond

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SOLUTION FACE VALUE 1000000 LESS 1705 2... View the full answer

Ethics in Accounting A Decision Making Approach

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