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Questions tagged [dv01]

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Is the "$\textit{theoretical}$" $DV01$ of a bond an accurate estimate?

Dollar duration $DV01$ is defined as negative of the price of the bond wrt yield: $$DV01 = - \frac{\partial P}{\partial y}.$$ As we know that $P = \sum_{t=1}^{n} \frac{CF_{t}}{(1+y)^{t}}$, then $$DV01 ...
Sane's user avatar
  • 368
0 votes
0 answers
47 views

DV01 for Bond Forwards

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!
Stephanie's user avatar
2 votes
1 answer
123 views

Cubic Spline Interpolation partial derivative to the point

Still didn't figure out this, so looking for some help, kindly apppreciated. By this blog https://blog.timodenk.com/cubic-spline-interpolation/index.html, the piecewise cubic spline interpolation is ...
imyafeng's user avatar
1 vote
2 answers
372 views

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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0 answers
155 views

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
  • 1,474
0 votes
1 answer
299 views

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
0 votes
0 answers
25 views

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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0 answers
94 views

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
  • 843
0 votes
3 answers
329 views

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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