New answers tagged


As you said, dv01 is the P&L from a 1 basis point parallel shift of the interest rate curve - i.e., all the instruments used to build the curve simultaneously move 1 bp. This is the most basic risk measure that everyone understands and uses. It has some obvious limitations: the exposure is likely not to be linear, i.e. $n \times$ dv01 is not a great ...


VanillaSwap models simple swaps, so it doesn't have a lot of bells and whistles. For more control, you can create the two legs separately and use the Swap class. In your case: fixed_leg = ql.FixedRateLeg(fixedSchedule, fixedLegDayCount, [notional], [fixedRate]) floating_leg = ql.IborLeg([notional], floatSchedule, floatIndex, floatLegDayCount, ...


Worth taking a look at this piece: nice, concise, clear and intuitive description of carry & roll.

Top 50 recent answers are included