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DV01 Limit
Posted: September 1st, 2015, 8:36 am
by Hdawoud
Can any body show me what are the MAT for AFS portfolio?
DV01 Limit
Posted: October 13th, 2015, 2:23 pm
by Hdawoud
Hi all, any body can help to send me a DV01 model to calculate the DV01 for T-Bills and T-Bonds?
DV01 Limit
Posted: October 19th, 2015, 8:15 pm
by DavidJN
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.