I have some technical questions about what are the best settings in Bloomberg to calculate the interest rate risk of a swap.

When Bloomberg calculates the DV01, it simply bumps the par swap curve by +/-10bps, then calculates the difference in NPVs, and divides it by 20. When Bloomberg does this, it does not touch the discount curve, only the par swap curve is being shifted which itself changes the forward curve that is used for projecting the cash flows of the floating leg. This practically means that the NPV of the fixed leg remains unchanged, while the floating leg's NPV changes due to the change in the forward curve.

In reality when the par swap curve changes, usually the ois discount curve changes too, because there's some correlation between OIS and FRA rates. I guess this correlation is not taken into account when calculating interest rate risk?

There is another setting which bugs me. You can select 'constant libor fixing' or 'shifting libor fixing' for DV01 calculation. As for selecting the first option, the first coupon (the 3m or 6m member) of the par curve remains unchanged, which results in greater movements in the forward curve when the rest of the par curve is being shifted up/down. In the second choice, all ingredients of the par curve is allowed to shift for the DV01 calculation. Do you know which setting gives a DV01 that is closer to the "real life DV01"?

Thanks,