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DV01 Limit

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Hdawoud
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Joined: August 30th, 2015, 2:07 pm

DV01 Limit

September 1st, 2015, 8:36 am

Can any body show me what are the MAT for AFS portfolio?
Last edited by Hdawoud on August 31st, 2015, 10:00 pm, edited 1 time in total.
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Hdawoud
Posts: 0
Joined: August 30th, 2015, 2:07 pm

DV01 Limit

October 13th, 2015, 2:23 pm

Hi all, any body can help to send me a DV01 model to calculate the DV01 for T-Bills and T-Bonds?
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DavidJN
Posts: 262
Joined: July 14th, 2002, 3:00 am

DV01 Limit

October 19th, 2015, 8:15 pm

There is no model for DV01 per se. You use your existing price function.DV01 = [ Price(yield down one basis point) - Price(yield up one basis point) ] /2This is in any introductory fixed income book.This thread belongs in an ultra-newbie forum!By the way, EVERYONE uses DV01 limits. And of course some use other limits as well.
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