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%.
closed as off-topic by Helin, LocalVolatility, Quantuple, JejeBelfort, amdopt Sep 25 '17 at 17:46
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Helin, LocalVolatility, Quantuple, JejeBelfort, amdopt