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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.

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  • $\begingroup$ Just posted a screenshot! $\endgroup$
    – redmonkey
    May 2 at 11:55

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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).

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  • $\begingroup$ brilliant thank you so much! I just wanted to ask, is this a general convention for the quotation of swap deltas or just specific to bloomberg? $\endgroup$
    – redmonkey
    May 2 at 13:00
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    $\begingroup$ Think it's specific to Bloomberg but can be explained by how risk is expressed for bonds. E.g. bond duration is usually positive which means if yields decrease by 1%, the bond price appreciates. $\endgroup$
    – oronimbus
    May 2 at 13:09
  • $\begingroup$ very much appreciated, thank you. $\endgroup$
    – redmonkey
    May 2 at 13:15

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