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Dv01 as a function of interpolation method
Posted: September 23rd, 2014, 1:08 pm
by surya2cents
I am trying to see how the dv01 changes under different interpolation methods. I find that on a 10y30y usd libor swap with OIS discounting, the dv01 with linear interpolation of zero rates gives adv01 that is nearly 10% lower than that of monotone convex. I was surprised at such a large difference with a change in interpolation method. Am I doing something incorrect...or is this something well known among practitioners ?
Dv01 as a function of interpolation method
Posted: September 29th, 2014, 8:03 am
by Lapsilago
Hi, some differences might occur. But this seems very big... Hard to say. Could you send your stuff then I could take a look.Best, Lapsi
Dv01 as a function of interpolation method
Posted: September 29th, 2014, 11:13 am
by DavidJN
What do you mean by DV01? From the projection curve? The discounting curve? The net of both?
Dv01 as a function of interpolation method
Posted: September 29th, 2014, 11:13 am
by DavidJN
What do you mean by DV01? From the projection curve? The discounting curve? The net of both?