DF01 and DV01 Explanation

cleroy · January 5th, 2005, 3:30 pm

Hi,Happy new year...I am looking for information about DF01 and DV01 in Fixed income trading... and Barbel and others strategies.Thx

poochie · January 5th, 2005, 3:52 pm

What is DF01 ?

cleroy · January 5th, 2005, 3:56 pm

a kind of delta for the fixed income but i d like to know exactly what it is and why the name....

DavidJN · January 5th, 2005, 7:08 pm

cleroy,Search for the series of Salomon Bros fixed income papers on this site - use the keyword "Salomon" and look for the thread "Rolling Down the Yield Curve". You will find explanations of all of this stuff and much more in these papers.

cleroy · January 6th, 2005, 12:30 pm

Thx 4 your help mate thx