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.

Learn the skills required to excel in data science and data analytics covering R, Python, machine learning, and AI.

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.

Saylient AI Logo

Take the Next Step in Your Data Career

Join our membership for lifetime unlimited access to all our data analytics and data science learning content and resources.