I was just wondering whether it was possible for long payer swaps to have a negative dv01 and vice versa for a short payer to have a positive dv01? Intuitively by definition of payers and receivers I didnt think this was possible, but I was recently pricing some payers/receivers on Bloomberg and saw that this was in fact possible? Any help/insight would be greatly appreciated.
The delta/DV01 is expressed with regards to a downward shift in rates. So in this case for a long payer, a 1bp downward shift would result in a loss of \$40k. For the short payer it'd be the opposite, i.e. a \$30k gain.
The DV01 itself is calculated as the average move in P&L for a 10bp shift up and down (i.e. numerically and not analytically).