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Derivatives

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  • November 7, 2021
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Dollar Value of One Basis Point

The dollar value of one basis point (DV01) is the derivative of price with respect to yield:

Dollar Duration

This tool reflects the dollar (rather than the percentage) change in price with respect to the yield of a fixed-income security (bonds, notes, etc) or a swap or any similar instrument (it can be even calculated for a portfolio). It measures the dollar price change per change (one basis point change) in yield.

It is also known as PV01 (present value of an 01) or BPV (basis point value).


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