有人能告诉我什么是 DV01 什么是 PV01吗 最好用中文解释

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如题，什么是 DV01 什么是 PV01， 下面是彭博的解释，

PV01: Dollar Value of one marginal basis point on the fixed coupon of  the swap deal.(ie. the dollar of 1BP annuity along the fixed leg of the swap deal, PVed to today)

DV01: change in market value due to 1BP shift(down) of the market swap curves.

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关键词：中文解释 Marginal Annuity market Dollar 中文解释 annuity change market 最好

not sure what is not clear ?

关于bond里DV01解释是yield变动1basis point(0.01%),bond price 变动多少
DV01=Duration*0.0001*Price

Enthuse 发表于 2012-7-18 22:25
not sure what is not clear ?

if i want to calculate the DV01,then what is the formula? In other saying, how to express it in mathmatical way。 Thanks

naimei100 发表于 2012-7-19 09:44
if i want to calculate the DV01,then what is the formula? In other saying, how to express it in ma ...

你算什么的DV01 bond 吗

naimei100 发表于 2012-7-19 09:44
if i want to calculate the DV01,then what is the formula? In other saying, how to express it in ma ...

in general, there is no formula.

29898088 发表于 2012-7-19 19:34
你算什么的DV01 bond 吗

计算 利率互换的 ，整个合约的DV01 应该等于 收取端的DV01-支付端的DV01

actually， there is formula, saying pv01= the abs market value of one marginal point up on the fixed coupon of the swap deal plus the abs market value of one marginal point down on the fixed coupon of the swap deal, the sum divide by 2.    thanks for every one.

哈哈，我找到了， PV 01= SWAP 固定利率端 上浮一个BP 的MV的绝对值 加上固定利率端下浮一个BP的MV的绝对值， 两者之和除以2

naimei100 发表于 2012-7-19 09:44
if i want to calculate the DV01,then what is the formula? In other saying, how to express it in ma ...

DV01=-(ΔBV)/(10000*Δy)