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DV01 is the dollar variation in a bond's value per unit change in the yield. https://en.wikipedia.org/wiki/Bond_duration IR DV01 is the dollar value change for a 1bp upward parallel shift in interest rates. http://dataforthoughts.blogspot.it/2009/09/economics-of-negative-bond-cds-basis.html


I calculate duration in Python using numpy, it's nice and simple: def durations(cfs, rates, price, ytm, no_coupons): import numpy as np mac_dur = np.sum([cfs[i]*i/np.power(1+rates[i],i) for i in range(len(cfs))])/price mod_dur = mac_dur/(1+ytm/no_coupons) return mac_dur, mod_dur

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