Definition
DV01 measures how much a bond's price changes for a 1 basis point (0.01%) move in yield. It's also called basis point value (BPV) or dollar duration. For a $1 million position with DV01 of $800, a 1bp rate increase causes an $800 loss. DV01 helps traders size hedges and assess interest rate risk.
Formula
DV01 = Modified Duration × Price × 0.0001
Example
A $10M bond portfolio has DV01 of $8,000. A 25bp rate increase causes approximately $200,000 loss (25 × $8,000).
FAQ
What is DV01 (Dollar Value of 01)?
The dollar change in value for a one basis point yield change.
How do you calculate DV01 (Dollar Value of 01)?
A common formula for DV01 (Dollar Value of 01) is: DV01 = Modified Duration × Price × 0.0001
Why is DV01 (Dollar Value of 01) important?
DV01 (Dollar Value of 01) helps investors evaluate fixed income and make more informed decisions.