Seem to be confused over the difference between PV01 of a bond and DV01 of the bond.

PV01, also known as the basis point value (BPV), specifies how much the price of an instrument changes if the interest rate changes by 1 basis point (0.01%).

DV01 is the dollar value of one basis point change in the instrument.

Is my explanation correct?


They are both price changes in response to a 1 bp change.

DV01 is valid for a single bond. It is the price change in response to a 1 bp change in yield of this instrument. It arises from the mathematical relationship between yield and price.

PV01 is a more general concept for all fixed income securities , not just bonds but swaps, futures and options, MBS, and portfolios thereof. It is the price change in response to a 1 bp change in yields all along the yield curve (parallel shift in the yield curve). It presupposes an estimate of the yield curve and a mathematical relationship between the price of an instrument and this yield curve.

For a single simple bond they are the same.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.