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DV01 constant?
Posted: February 7th, 2012, 9:26 am
by Adoniz
...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?
DV01 constant?
Posted: February 7th, 2012, 10:37 am
by MHill
Yes. DV01 should change with both time & rates.
DV01 constant?
Posted: February 7th, 2012, 10:48 am
by ppauper
you might read up on "convexity"
DV01 constant?
Posted: February 7th, 2012, 11:10 am
by Martinghoul
Swaps also have fixings.