- What is Macaulay Duration?
- Duration of a Bond - Video
- Calculating the Macaulay Duration Using Excel
- Properties of Duration
- Modified Duration of a Bond
- Calculating Price and Yield of a Bond Using Zero Curve
- Price-Yield Relationship
- Current Yield of a Bond
- Basis Point Value (BPV / DV01)
- Quick Approximation of Price Value of a Basis Point (PVBP)
Basis Point Value (BPV / DV01)
Basis Point Value also known as Delta or DV01 represents the change in the value of an asset due to a 0.01% change in the yield. It is commonly used to measure the interest rate risk in a bond position or a portfolio and can be effectively used while hedging the portfolio.
An effective way to hedge is to match the BPV of the underlying security and that of the hedging vehicle.
BPV can be calculated using the following simple formula:
BPV = Yield x 0.0001
Along with BPV, it is also useful to calculate the Price Value of a Basis Point (PVBP), which measures the change in value in dollar terms.
PVBP = Current Bond Price – New Price after 1bp change in yield.
Free Guides - Getting Started with R and Python
Enter your name and email address below and we will email you the guides for R programming and Python.