Credit event and Price value of a basis point: Difference between pages
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(PVBP/PV01). | |||
The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal). | |||
PVBP can be calculated on an estimated basis from the modified duration as: | |||
PVBP = Modified duration x Price x 0.0001 | |||
PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%). | |||
The PVBP calculated on this basis is then the difference between the two related market values. | |||
The calculated PVBP will differ slightly, depending on the method of calculation. | |||
PVBP also varies with the current yield for the instrument or portfolio under review. | |||
Commonly shortened to PVBP or PV01. | |||
''Also known as the Dollar value of a basis point (DVBP or DV01).'' | |||
== See also == | == See also == | ||
* [[ | * [[Basis point]] | ||
* [[ | * [[Modified duration]] | ||
[[Category:Risk_frameworks]] | |||
Latest revision as of 23:35, 15 January 2016
(PVBP/PV01).
The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).
PVBP can be calculated on an estimated basis from the modified duration as:
PVBP = Modified duration x Price x 0.0001
PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%).
The PVBP calculated on this basis is then the difference between the two related market values.
The calculated PVBP will differ slightly, depending on the method of calculation.
PVBP also varies with the current yield for the instrument or portfolio under review.
Commonly shortened to PVBP or PV01.
Also known as the Dollar value of a basis point (DVBP or DV01).
