DV01 is the ratio of a price change in output (dollars) to [...].
Answer
unit change in input (a basis point of yield)
Tags
#bonds #duration #finance
Question
DV01 is the ratio of a price change in output (dollars) to [...].
Answer
?
Tags
#bonds #duration #finance
Question
DV01 is the ratio of a price change in output (dollars) to [...].
Answer
unit change in input (a basis point of yield)
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Open it DV01 is the ratio of a price change in output (dollars) to unit change in input (a basis point of yield).
Original toplevel document
Bond duration - Wikipedia, the free encyclopedia 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)
The DV01 is analogous to the delta in derivative pricing (The Greeks) – <span>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 percentage. It gives the dollar variation in a bond's value per unit change in the yield. It is often measured per 1 bas
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