I trade a lot of treasury curves, so say I have a portfolio of treasury cash and futures products (longs and shorts). How do I find the portfolio DV01 risk and curve risk? I couldn't find anything that could help me get started online. If anyone has any resources please help.
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2 Answers
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CME has DV01s on their website, I think only for futures. Beyond that you'll need a data provider such as bloomberg, reuters, or subscribe to barclays live.
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To calculate DV01 and curve risk you should be able to calculate price from yield first. You could probably take a look at QuantLib - it should able to price a bond from yield. Once you can do that, you can do whatever risk calculations you want. For example, to calculate DV01 you would change yield by 1 basis point and then reprice it.
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$\begingroup$ What's the industry standard approach to calculating curve risk? That's what I'm stuck on... $\endgroup$– A1122Commented May 23, 2017 at 8:05
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$\begingroup$ Yield curve risk is a risk of loss arising from a change in the shape of the yield curve. You can consider scenarios of the change in the shape of the yield curve: steepening/flattering; and assume that the worst case scenario would be your curve risk. $\endgroup$ Commented May 25, 2017 at 5:41