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If someone tells me there is a IRS and a CDS both with 10M notional and 5y maturity, is there a reliable quick calculation that I could easily do mentally to approximately calculate their sensitivities (DV01 and CS01)? Does it make a difference if the 2 swaps are at-the-money or deep in/out of the money?

Intuitively I understand the sensitivities are linked to the maturities but how can I use the information I have to quickly give a sensitivity for these products?

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As a ball park figure, your value would be around 5k (=10M x 0.01% x 5). If your swap in in EUR or JPY that have very low rates, you won't be too far off.

However, this will give you the PV01, i.e., the discounted value of 1 bps, which is the same (or very very close) as the sensitivity of the market value to a change in 1bp (DV01) if the swap is at fair value.

If the swap is deep in/out of the money the DV01 with not be equivalent to the discounted value of 1 bps because you would also have the sensitivity of discounting an NPV that is not zero.

Hope this helps...

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  • $\begingroup$ Thank you. What would be the shortcut to calculate DV01 and CS01 in case the swap is not at the money? $\endgroup$
    – Diuoo
    Jun 25 '21 at 14:24

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