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  • September 17, 2021
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IR DV01

A measure of the change in the value of a debt instrument (like bonds)- i.g., DV01– resulting from a 1 basis point change in interest rates (IR). In other words, it captures the difference between the current market value of the instrument and its value derived by a one basis point shift in the interest rate curve.

IR DV01represents the dollar value change for a 1 basis point upward or downward parallel shift in interest rates (also risk-free interest rates).

IR DV01 is an interest rate sensitivity measure.


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