# Tag Info

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### ATM interest rate swap dv01 vs off-market swap dv01

To a very (!) first approximation, the delta of a swap equals the negative of its time to maturity ($\Delta \approx -T$), the gamma equals that squared ($\Gamma \approx T^2$): Starting from a generic ...
• 5,763

### ATM interest rate swap dv01 vs off-market swap dv01

You need Gamma to answer this question really. Gamma tells you how much your delta moves for a change in rates. Taking a 5y \$receiver swap with a DV01 of \$4333.60 on 10MM notional we get a Gamma ...
• 850
1 vote

### "The five year swap has the same dv01 as a par five year treasury bond" Why?

The book appears to be rather basic and is making the point that the dv01 of the swap and bond are approximately the same rather than exactly the same. The difference mostly comes from the discount ...
• 13.9k