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I understand that zero coupon bond changes as interest rates change. But I am unsure of how to get the delta. Say I buy a 5Y zero coupon bond with notional amount 5M USD. How do I calculate the delta? Interest rates are 2.10%.
The delta is (value of bond) - (value of bond if rates go up 1bp)
=5mm/(1.0210)^5 - 5mm/(1.0211)^5