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thank you in advance anyways! I do have a question that drives me mad.

How do i calculate the Swap DV01 for a Interest Rate Swap?

I think for a bond i multiply the discounted cashflows times the point in time, and divide it through the bond price to end up with duration and thus i can end up with dollar value of 1 bp.

But for a european IRS i do not know.

I think there exists the cash formula, but this suggests a flat interest curve which is not applicable.

KR and thanks everybody!

Stefan Müller
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you can calc it as the difference in npv you get when you bump the yield curve and calc your npv , vs your original npv

Randor
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  • agreed, so many times people conflate a dv01 with the present value of a basis point annuity - it's almost that, but not quite (particularly important when u generalise to eg credit risky swaps) – Mehness Dec 11 '16 at 12:10