Curvers/Swappers/Bonders;I have a portfolio of vanilla IRS , my net poistion is paying fixed rate and receive floating.My Net DV01 < 0,and the DV01 for the 2s is -$30,000 and the 10s is $+50,000.questions:-is the portfolio short the market and portfolio will benefit from futures prices declining this manifest in a daily P&L for the portfolio that is poistive ? -what are the way to bring the Dv01 for the 2s and 10s down to zero,what instruments to use to hedge ?-will I benefit from a monetary policy that is loose or tight ?Thanks.

A few things in your setup don't make sense...

the exampe above is not factual.my net DV01 for all curve tenors from O/N .....30y swap is less than zero...this indicates that the IRS vanilla portfolio is net short the mkt,and this poistion is approximatedby being the fixed rate reciver in a bond ,or i am buying the yield and betting a rates to steepen.is this correct logos ?now,the 2s vs 10 s section if in a situation where by i only have exposure to the 2s vs 10s section and my DV01for eash is as above,how do i become DV01=zero ?Thanks that should have read i am short the mkt and i am paying the fixed rate and receving float.

QuoteOriginally posted by: Samsaveelthe exampe above is not factual.my net DV01 for all curve tenors from O/N .....30y swap is less than zero...this indicates that the IRS vanilla portfolio is net short the mkt,and this poistion is approximatedby being the fixed rate reciver in a bond ,or i am buying the yield and betting a rates to steepen.is this correct logos ?No, this is very confused/confusing... There's no such thing as a "fixed rate receiver in a bond". There's no such thing as "rates steepening" and "buying the yield" makes no sense. If your portfolio is net short, in a simplistic way this means that you're net short bonds. That means you will make money when the entire yield curve moves up in parallel.Quotenow,the 2s vs 10 s section if in a situation where by i only have exposure to the 2s vs 10s section and my DV01for eash is as above,how do i become DV01=zero ?Thanks that should have read i am short the mkt and i am paying the fixed rate and receving float.You become DV01 = zero, like you became DV01 != zero, i.e. by trading in the mkt. In this case, you go into the mkt to offset all or some of the risk, so that your DV01 (net or individual bucket) becomes zero.Can I just add that you really need to read a book? I would suggest Tuckman and maybe Flavell (as I always do). You asking here and having myself and others answer actually adds no understanding and doesn't contribute to you learning these things for yourself, as evidenced by you continuing to ask variants of the same basic questions. The way you're proceeding will eventually lead to ruin, so you need to stop.

Thanks Martnghoul.will do further reading to preempt ruin.If my vanilla IRS portfolio has a negative DV01.does that mean I am Net short the market,and the portfolio is net pay fixed and recive float .will benefit from a upward parallel shift to the yield curve.cheers.

QuoteIf my vanilla IRS portfolio has a negative DV01.does that mean I am Net short the market,and the portfolio is net pay fixed and recive float .will benefit from a upward parallel shift to the yield curve.No.

Quote Originally posted by: Samsaveel Thanks Martnghoul.will do further reading to preempt ruin.If my vanilla IRS portfolio has a negative DV01.does that mean I am Net short the market,and the portfolio is net pay fixed and recive float .will benefit from a upward parallel shift to the yield curve.cheers.Dude, don't say you're going to do the reading and then ask another question in the same vein.You're like someone put on the spot trying to guess an answer to a question.Even if you guess right you've learned nothing.Reproduce a curve from Flavell and the answer will be obvious, and what's more you'll actually KNOW it.

QuoteOriginally posted by: TinManQuote Originally posted by: Samsaveel Thanks Martnghoul.will do further reading to preempt ruin.If my vanilla IRS portfolio has a negative DV01.does that mean I am Net short the market,and the portfolio is net pay fixed and recive float .will benefit from a upward parallel shift to the yield curve.cheers.Dude, don't say you're going to do the reading and then ask another question in the same vein.You're like someone put on the spot trying to guess an answer to a question.Even if you guess right you've learned nothing.Reproduce a curve from Flavell and the answer will be obvious, and what's more you'll actually KNOW it.sure,i just read flavels chapters on risk managment grid point and all....but he does not utilize the terminology .i.e Net long/short mkt.look at the below thread:TMhttp://www.wilmott.com/messageview.cfm?catid=3 ... SGDBTABLE=

Portfolio DV01 is not really meaningful if you have positions all over the curve (sort of like taking the average depth of a swimming pool). Positions at the opposite end of the curve (e. .g, short 2 years, long 10 year) exacerbates the situation.A parallel shift (say up 50 basis points) along the curve might leave you with a large loss on the ten year and that is not offset by the gain in the two year. You should look at the sensitivity of the book to various points on the swap curve. Some desks even look at the sensitivity along each three-month forward point

Quote Originally posted by: Samsaveel sure,i just read flavels chapters on risk managment grid point and all....but he does not utilize the terminology .i.e Net long/short mkt.look at the below thread:TMhttp://www.wilmott.com/messageview.cfm?catid=3 ... ABLE=Never mind chapters on risk mgt, your problem is not one of terminology, it's much more fundamental than that.Things like net long/short the market are meaningless in the context of IRS, that thread should tell you that DV01 is a bond measure with a particular convention.It seems that you don't want to put the graft in and learn this stuff properly, you just want to be able to rattle off jargon.If you want to see your sensitivity to something there are two things you need to do:1. Learn to bootstrap2. Change something and bootstrap again, now you have a sensitivity.If you want to see your senstivity to your futures, then change them and reval.