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  1. Nicole Seaman

    YouTube T4-39: Fixed Income: Impact of Yield and Coupon on Duration and DV01

    The previous videos in this playlist have illustrated how we calculate the two most popular measures of single factor interest rate sensitivity, that is duration and dv01, also called price value of the basis point. Now, knowing how these calculations work we will apply them to understand some...
  2. Nicole Seaman

    YouTube T4-32: Fixed income: Bond DV01 (aka, price value of basis point)

    Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 4, One-factor Risk Metrics and Hedges). The DV01 stands for "dollar value of an .01% (one basis point)." It is also called the Price Value of a Basis Point (PVBP). It is the bond's or fixed...
  3. Nicole Seaman

    P1.T4.909. Effective duration and convexity (Tuckman Ch.4)

    Learning objectives: Define, compute, and interpret the effective duration of a fixed income security given a change in yield and the resulting change in price. Compare and contrast DV01 and effective duration as measures of price sensitivity. Define, compute, and interpret the convexity of a...
  4. Nicole Seaman

    P1.T4.908. Interest rate factors and the DV01-based hedge (Tuckman Ch.4)

    Learning objectives: Describe an interest rate factor and identify common examples of interest rate factors. Define and compute the DV01 of a fixed income security given a change in yield and the resulting change in price. Calculate the face amount of bonds required to hedge an option position...
  5. P

    GARP.FRM.PQ.P1 Doubts with DV01. (garp09)

    Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value: a. Zero coupon bonds, par bonds, premium bonds b. premium bonds, par bonds, zero...
  6. P

    Calculation of DV01

    On your Fixed Income 1 Par $1,000. 10 Years, 4% Coupon Semiannual N=20 PMT=20 FV=1000 Price = 851.23 + 1 basis point 6.01% - 1 basis point 5.99% When I perform the repricing after the basis change I seem not to get the +1 price of 850.55 or the -1 851.90 Please a I...