CS01 vs DV01.

mdayal · September 2nd, 2009, 7:59 pm

What is the EXACT difference between CS01 and PV01, please, for a corporate bond ? Is it fair to say that when calculating PV01, you shock the entire Term Structure by 1 bps and calculate the per unit change ? While calculating CS01, what would you do different ? Mohit

GammaTau · September 3rd, 2009, 1:56 pm

I would imagine that PV01 applies to the 'risky' discount rate (short rate + credit spread) whereas CS01 only applies to the credit spread bit of it.

mdayal · September 3rd, 2009, 2:03 pm

What is the calc therefore ? Lets say you have a 2 yr bullet on a name trading at 500 bps. 2 yr rate is 3%. What is the CS01 and PV01 ?

rmax · September 3rd, 2009, 4:29 pm

You need to calc the CS spread over the benchmark.

rayso33 · September 4th, 2009, 8:29 am

If it is a fixed rate bond, CS01 and PV01 is the same.If it is a floating rate bond, CS01 and PV 01 is very different.

mdayal · September 8th, 2009, 4:17 pm

Thanks, folks. Got it.