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www.investorwords.comDefinition of DV01: A bond valuation calculation showing the dollar value of a one basis point decrease in interest rates. It shows the change in a... Home Articles Tips Videos Browse by Subject Term of the Day InvestorWords.com - Online Investing Glossar瀏覽：979
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日期：2024-07-13
I can't seem to find a definitive answer on this, but from what I can see, on a bond PV01 and DV01 seem to be used interchangably, however on a CDS contract our risk systems refer to PV01 as the interest rate risk on a CDS, whereas DV01 (CR01) is the cred...
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日期：2024-07-15
The original community for quantitative finance. Exclusive premium quant, quantitative related content, active forums and jobs board. ... Dakinemon69, At the first glance, to keep things simple, DV01, delta or PVBP are all the same. Delta measures the cha...
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日期：2024-07-14
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 ra...
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日期：2024-07-14
DV01 Definition A way of determining what a bond's value would be with regard to a change in price in comparison to the decrease in yield on that bond. This method shows the dollar value of an interest rate drop of one basis point. Related Videos http://w...
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日期：2024-07-14
An example of using DV01 (dollar value of '01) to calibrate a hedge. Here, I assume we write $1 million in call options; as such, maybe we are worried about an interest rate decline. We can hedge by buying (going long) bonds. The DV01 can calibrate the he...
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日期：2024-07-11
Bond investors use a number of calculated quantities to help evaluate the prices they are willing to pay for bonds. These calculations depend on a bond's interest rate, timing of cash flows, time until maturity and the prevailing rate of interest for simi...
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日期：2024-07-11
As pointed out, the DV01 measures sensitivity in dollar terms, the modified duration in percentage terms. Another way to think of the distinction is that DV01 measures the risk per unit notional while the duration measures risk per $100 invested. Comparin...
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日期：2024-07-10
1 Macaulay duration 2 Modified duration 2.1 Periodically compounded 2.2 Units 2.3 Non-fixed cash flows 2.4 Finite yield changes 3 Fisher–Weil duration 4 Key rate duration 5 Bond duration formulas 5.1 Example 6 Dollar duration, DV01 6.1 Application to valu...
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