Zero-coupon bond:

Face
$100
Maturity
30.0

$80.00
$70.00
$60.00

Yield
Duration
Actual
Slope
Yield
4.00%
3.99%
DV01

4.0%
-28.85
-30.12
(868.83)
Price
$30.12
$30.21
$0.090

$50.00
$40.00

Price
Duration

$30.00
$20.00
$10.00
$0.00
1%

2%

3%

4%

5%

6%

7%

8%

9% 10%

Axis Title

Call Option
Stock (S)
Strike (K)
Volatity
Term (T)

$100.00
$100.00
40%
5.0

Rate
4.00%
3.99%
DV01

Price
$41.190
$41.207
$0.017

Duration plot
2.0%
4.0%
6.0%

$47.50
$30.12
$12.74

Actual Bond
Yield
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%

Price
$74.08
$54.88
$40.66
$30.12
$22.31
$16.53
$12.25
$9.07
$6.72
$4.98

Option
Face x DV01
$1,000,000
x $0.017

Face
- 1 bps

Write
options
$1,000,000
($0.017)
($168)

=
=

Bond
Face x DV01
$186,166
x $0.090
Buy
Bonds
$186,166
$0.090
$168

Price
Duration

9% 10%