Bond DV01 and duration
HTML-код
- Опубликовано: 7 сен 2024
- The DV01 gives us the dollar change in bond price for a one basis point decline in the rate. We typically assume yield (YTM) is the rate change, so as Tuckman explains this is technically a yield-based DV01; i.e., we could instead shock spot or forward rates instead.
❤This video is underrated and everyone should watch it.
@Vampireddy great question. Your 29.27 is correct, of course, per your Mod duration = Mac duration/(1+y/k). The difference is b/c the DV01 is technically only the -1 bps, but there is not symmetry around the 5%. If we computed effective duration, we should get ~ 29.27; i.e., duration = (Price @ 4.99% - Price @ 5.01%)/(2*Price@5%*1 bps). But, effectively, we only using half/one side. It doesn't really matter b/c both are linear approximations, the difference is the slight basis for the line
@Vampireddy although i am thinking that your 29.27 is the better mod duration (although, it's ironic to speak of a more precise approximation, if you know what i mean) because I think that is the the function of the slope of the tangent line at 5%. Whereas, I think mine would technically be a function of the slope of an almost identical but slightly off secant line.
why does Bloomberg show different vales for pv01 and dv01
Great video. Can you explain how to calculate DV01 without using excel ? Thanks.
Hi David, why the mod Duration you calculated out is different from 30/1.025? which is 29.27
Hi David, thanks for posting the video. It exactly what i was looking for. One question, i mostly invest in FRNs, can you please further explain why you use a factor of 10,000 in the denominator to calc the DV01.
1/10,000 equals to 1 bps since this method is used to see the price value movement upon the 1bps change of yield
Hi pls can u explain the 10000 in the formula. I am finding it difficult to understand ..why 10000. Pls help
Because is to transform this into basis points. 0,01b *100= 0,0001. Same as 1/10,000.
Classic