What Is the PV01 of the Following Portfolio

question 9

Short Answer

What is the PV01 of the following portfolio?
i. Long a 2-year ?xed coupon bond paying 7% quarterly.
ii. Short three 1.25-year ?oating rate bonds paying ?oat plus 80 bps semiannually. You know that the reference rate was set at 7% six months ago.
iii. Short two 0.5-year zero coupon bonds.

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