- Joined
- 11/11/10
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Howdy all!
I'm having a bit of trouble wrapping my head around this. I am trying to calculate the DV01 of a bond ETF, in particular the ProShares UltraShort 7-10 Year Treasury (PST US). It doesn't need to be exact, but I need an idea of the DV01 as it is being used as a hedge.
The current price on the ETF is $38.71.
From the ProShares website, the benchmark Index the ETF is based off of has a Modified Adjusted Duration of 7.67 and weighted average price of $112.02.
PST returns performs of -200% of the index.
The DV01 of the index would appear to be 0.085919 (112.02*7.67/10000), so that should make the DV01 of the ETF -0.171839, correct?
But does the price of the ETF come into play at all?
Thanks for the help.
I'm having a bit of trouble wrapping my head around this. I am trying to calculate the DV01 of a bond ETF, in particular the ProShares UltraShort 7-10 Year Treasury (PST US). It doesn't need to be exact, but I need an idea of the DV01 as it is being used as a hedge.
The current price on the ETF is $38.71.
From the ProShares website, the benchmark Index the ETF is based off of has a Modified Adjusted Duration of 7.67 and weighted average price of $112.02.
PST returns performs of -200% of the index.
The DV01 of the index would appear to be 0.085919 (112.02*7.67/10000), so that should make the DV01 of the ETF -0.171839, correct?
But does the price of the ETF come into play at all?
Thanks for the help.