DV01 constant? - wilmott.com

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Adoniz: Posts: 1; Joined: October 8th, 2008, 2:33 pm

DV01 constant?

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#1

February 7th, 2012, 9:26 am

...DV01 of a plain vanilla swap tells you the rate sensitivity of your position NOW....I assume that this DV01 is NOT a constant and changes...Is this correct or not?


MHill: Posts: 21; Joined: February 26th, 2010, 11:32 pm

DV01 constant?

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#2

February 7th, 2012, 10:37 am

Yes. DV01 should change with both time & rates.


ppauper: Posts: 11729; Joined: November 15th, 2001, 1:29 pm

DV01 constant?

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#3

February 7th, 2012, 10:48 am

you might read up on "convexity"


Martinghoul: Posts: 188; Joined: July 18th, 2006, 5:49 am

DV01 constant?

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#4

February 7th, 2012, 11:10 am

Swaps also have fixings.