#bonds #duration #finance
The DV01 is analogous to the delta in derivative pricing
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Bond duration - Wikipedia, the free encyclopedia
DV01 is defined as negative of the derivative of the value with respect to yield: so that it is the product of the modified duration and the price (value): ($per 1 percentage point change in yield) or ($ per 1 basis point change in yield) <span>The DV01 is analogous to the delta in derivative pricing (The Greeks) – it is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield). Dollar duration or DV01 is the change in price in dollars, not in p