- Dakinemon69
**Posts:**3**Joined:**

What is the difference between DV01 and Delta? Are they the same thing?

Not sure how correct this is, but here is my take ...DV01- usualy an absolute value, i.e. does not take into account the exosure, long or short.- usually a partial delta, and in the case if interest rates it is also the partial delta of that particular part of the curve / time bucket.- usually at a trade / product / currency level with in a book.Delta- usually at a portfolio level.- takes (or ought to take?) into account the correlations among the various trades / exposures.- is expressed as a positive or negative depending on the exposure.technically, in my opinion, the two concepts are the same, if you remove the correlation aspect.this is an interesting question and i too am interested in hearning opinions from more knowledgable people.

From a rates trading perspective for example, say the DV01 of 100m usd 2y rate swap is $19,500 (i.e. the risk of the exposure to a 1bp move), then in eurodollar futures terms, the 'delta' will be 19,500/25 (tick or bp value being $25) = 780 = 780 futs contract equivalent hedge... If you're receiving the 2yrs, can either describe risk as a 19,500 01, or long 780 delta - so yes they are simply different terms to describe the same thing (in the rates market - for the sake of simplicity assuming curve risks in front/red futures packs are equivalent to 2y point on curve etc...)

- Martinghoul
**Posts:**3256**Joined:**

In my experience, the difference is mostly one of context... Delta, rather than DV01, is normally used when people talk about options, but nobody really ever says "what's the delta of this bond position I have here". I guess this also clarifies the difference in definitions: DV01 is change in value for a rate move of 1bp, whereas delta is change in value per unit move of underlying whatever the underlying and the units it's measured in might be... My 2c

DV01 = IR Delta = RhoDV01 in my universe means "change in value of [XXX] given a -1bp move in [yield|zero rate]". The latter two of course are different

Last edited by eredhuin on August 5th, 2007, 10:00 pm, edited 1 time in total.

Dakinemon69,At the first glance, to keep things simple, DV01, delta or PVBP are all the same.Delta measures the change in the price of an option given a $1 change in the underlying stock or indicates how much the value of a position will change for a one basis point change in interest rates. DV01 does the same.Dont forget, delta can be also used for calculating the hedge ratio or can give you the probability that an option will finish in-the-money.Regards,

In credit, DV01 = delta. however DV01 is not always equal to the risky bpv. This is personnal but i think of the rbpv as the entity you need to multiply by the at the money spread to get the expected loss of a trade. in other words the asset leg of an at the money cds. Now the DV01 is the change of value of a cds with respect to a 1 bp change. the 2 values are not the same for a single name cds that is out of the money. There is a corrective term that represents the derivative of the annuity wrt to spreads. two cds with different coupon will have slightly different delta. this is particularly relevant now, as you need to hedge cds that you might have struck pre blow up with higher at the money cds.

- PlasticSaber
**Posts:**414**Joined:**

QuoteOriginally posted by: redwunzIn credit, DV01 = delta. however DV01 is not always equal to the risky bpv. Again, this depends on the context. For example, when talking about CDX or Itraxx tranches, dv01 indicates the change of my MTM when the spread moves out by 1bp whereas delta (defined as = dv01(tranche)/dv01(index)) represents how my change in MTM looks like when compared with the index.