September 2022
Beginner
560 pages
17h 36m
English
Content preview from Fixed Income Securities, 4th Edition
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APPENDIX TO CHAPTER 4DV01, Duration, and Convexity
A4.1 DV01, DURATION, AND CONVEXITY OF PORTFOLIOS
Let 
denote the price of asset 
and 
the price of a portfolio of those assets. By definition,
Let 
be the single factor generating changes in rates. Then, taking the derivative of both sides of (A4.1) with respect to 
,
Then, divide both sides of (A4.2) by 
10,000 and apply Equation (4.5) of the text to see that,
(A4.3)
Or, in words, the DV01 of a portfolio equals the sum of the individual asset DV01s.
To derive the duration of a portfolio, start from Equation (A4.2), dividing both ...
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