Questions tagged [dv01]

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mathematical proof of the hedge ratio formula for bond futures

We know that the hedge ratio ϕ_F that we should use in order to to the duration-hedging through bond futures is: $$ϕ_F= -(DV01_B / DV01_{CTD} )\cdot CF_{CTD}$$ Where $\textrm{DV01}_B$ is the dollar ...
luca dibo's user avatar
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DV01 of 10-Year vs 1-Year Zero-Coupon Bond at 0% Flat Interest Rate Curve

As the title suggests, what are the DV01s of a 1 million principal zero-coupon bond with 10-year and 1-year TTM with an assumed 0% flat interest rate curve. I understand that the duration for both ...
KaiSqDist's user avatar
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How do you interpret the portfolio DV01?

I am having trouble understanding the active dv01 of a portfolio? If the active dv01 of a portfolio is -10,000, what does that mean, all else equal? And what are different ways of increasing dv01 of a ...
the_brass_bottle's user avatar
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Why does swap fair rate not change 1:1 with shifted curve? [duplicate]

I'm trying to calculate things like dv01 for OIS interest rate swaps by shifting the swap curve (by 100bp say) and revaluing swaps on the shifted curve. However, I noticed that the swap rate (QuantLib'...
jackt247's user avatar
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Dimension reduction of par risk strips

I saw some threads about reducing dimensionality of IR risk strips, e.g. PCA and risk bucketing. However, I did not find a satisfying answer to that yet. Therefore, I decided to formulate a similar ...
SI7's user avatar
  • 823
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3 answers

Bounds for Par vs Zero DV01

Let’s say I have a swap portfolio and a vector of Par sensitivities (DV01‘s) for N nodes of a curve. Let’s call the vector P = (P_1,…,P_N). To derive the sensitivities w.r.t zero rates, we could of ...
SI7's user avatar
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