Timeline for interest rate swap: PV01 vs DV01

15 events

when toggle format	what		by	license	comment
Oct 15 at 8:47	history	edited	Attack68♦	CC BY-SA 4.0	edited body
May 26 at 18:23	history	edited	Attack68♦	CC BY-SA 4.0	added 2 characters in body
Sep 24, 2023 at 14:28	history	edited	Attack68♦	CC BY-SA 4.0	added 207 characters in body
Sep 22, 2023 at 7:09	history	edited	Attack68♦	CC BY-SA 4.0	added 368 characters in body
Mar 4, 2021 at 22:53	comment	added	Attack68♦		but note that definition would change the PV of the swap since a floating leg cashflow does not reference continuously compounded rates
Feb 13, 2021 at 8:37	comment	added	Attack68♦		if $v_i = e^{-\sum_{k=1}^{i}d_k r_k}$ where $r_k$ is a continuously compounded rate then yes it is exact.
Feb 12, 2021 at 20:31	comment	added	Confounded		Is $\frac{\partial v_i}{\partial r_j} = d_j v_i$ in fact exact for continuously compounded forwards? Thank you
Dec 24, 2020 at 19:21	history	edited	Attack68♦	CC BY-SA 4.0	added 63 characters in body
Nov 18, 2019 at 17:17	history	edited	Attack68♦	CC BY-SA 4.0	added 1 character in body
Nov 9, 2019 at 8:02	history	edited	Attack68♦	CC BY-SA 4.0	added 126 characters in body
Nov 8, 2019 at 23:12	vote	accept	gregV
Nov 8, 2019 at 23:12	vote	accept	gregV
Nov 8, 2019 at 23:12
Nov 8, 2019 at 19:05	history	edited	Attack68♦	CC BY-SA 4.0	added 5 characters in body
Nov 8, 2019 at 18:59	history	edited	Attack68♦	CC BY-SA 4.0	added 885 characters in body
Nov 8, 2019 at 18:38	history	answered	Attack68♦	CC BY-SA 4.0