What is the PV01 of the following portfolio

| June 10, 2016

Question
What is the PV01 of the following portfolio?

i. Long a 1-year fixed coupon bond paying 4% quarterly.

ii.Long a 1.75-year floating rate bond paying float plus 80 bps semiannually.
You know that the reference rate was set 6 months ago.

iii. Short a 2-year zero coupon bond.

Use the following discount factors when needed.

t Z(0, t)

0.25 0.9840

0.50 0.9680

0.75 0.9520

1.00 0.9360

1.25 0.9190

1.50 0.9040

1.75 0.8880

2.00 0.8730

2.25 0.8587

2.50 0.8445

2.75 0.8308

3.00 0.8175

3.25 0.8047

3.50 0.7924

3.75 0.7806

4.00 0.7691

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