Questions tagged [dv01]
The dv01 tag has no usage guidance.
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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
$$DV01 ...
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DV01 for Bond Forwards
Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01.
Thanks!
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Cubic Spline Interpolation partial derivative to the point
Still didn't figure out this, so looking for some help, kindly apppreciated.
By this blog https://blog.timodenk.com/cubic-spline-interpolation/index.html, the piecewise cubic spline interpolation is ...
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mathematical proof of the hedge ratio formula for bond futures
We know that the hedge ratio ϕ_F that we should use in order to to the duration-hedging through bond futures is:
$$ϕ_F= -(DV01_B / DV01_{CTD} )\cdot CF_{CTD}$$
Where $\textrm{DV01}_B$ is the dollar ...
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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 ...
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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 ...
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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'...
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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 ...
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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 ...
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