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Derivatives

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Swap DV01

A swap dollar value of one basis point (0.01%). It refers to the change in the present value of a swap in response to a one basis point parallel shift in the swap curve. Swaps with different underlying floating rates and maturities respond differently to change in the swap curve. This sensitivity to swap rate curve change can be captured in terms of the dollar value of a basis point (DV01) for a given swap.


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