Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

New answers tagged

1

I learned that I can contact Bloomberg Help Desk and got an answer from there: YAS_RISK is DV01/100, where DV01 is the dollar price change resulting from a one-basis-point change in yield. YAS_RISK is given in the currency of the bond, because DV01/100 is a percentage of the face value, and the face value currency is the currency of the bond. Please ...


1

I think it might be helpful to give an example here. So lets say you would want to estimate your PnL for a bond using the yield change and use YAS_RISK to retrieve your DV01 for a specific nominal. Assuming nominal of 1,000,000 Yield change: Lets use a realtime field for yield change RT_YLD_CHG_NET_1D This is in percentage To get the DV01 for your nominal ...


0

I've only got the same documentation as you but I'd say YAS_RISK is a rate of change per 100 bp interest rate change, i.e. the unit is percent which makes sense given that most bonds are quoted in percent on par. Change in interest rates refers to the consensus benchmark rates at comparable duration (by default). Details can be set up using YASD <GO>....


Top 50 recent answers are included