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New answers tagged interest-rate-swap

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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 ...
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Approximate dollar MTM of interest rate swaps

If only one day has elapsed, the carry and roll down effect on the p/l is insignificant. The p/l is well approximated simply by multiplying the move in the quotation by the duration of the swap, ...
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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 ...