wilmott.com • DV01 = Modified Duration * Notional / 10,000

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DV01 = Modified Duration * Notional / 10,000

Posted: May 6th, 2008, 2:14 pm

by villi

How close is this proxy for the DV01?

DV01 = Modified Duration * Notional / 10,000

Posted: May 6th, 2008, 2:56 pm

by Martinghoul

Notional? What does it have to do with the notional? DV01 = D_Mod * Price /10,000