Bond Parameters

years
% of par
$
bonds

Quick Examples

Load a preset to explore different duration profiles:

Assumptions

  • Linear approximation (duration-only, no convexity)
  • Best for option-free bonds
  • Price input as % of par (clean price approximation)
  • Rate impacts are approximate for large moves
Note: For callable/putable bonds, use effective duration from OAS models.

DV01 Results

DV01 (per $100 face) --
DV01 (per bond) --
DV01 (per $1MM face) --
Dollar Duration --
Position DV01 --
50bp Rise Impact --
50bp Fall Impact --
Rate impacts are duration-only approximations. For large moves (50bp+), actual P/L may differ due to convexity.

Sensitivity Analysis (Approximate)

Estimated position P/L for various rate shocks:

-100 bps (rates fall) --
-50 bps --
-25 bps --
-10 bps --
+10 bps --
+25 bps --
+50 bps --
+100 bps (rates rise) --

Position P/L Visualization

Enter bond parameters to see the visualization

Position sensitivity analysis will appear here.

Understanding DV01 and PVBP

Video Explanation

Video: Bond Duration Explained

What is DV01?

DV01 (Dollar Value of 01) measures the dollar change in a bond's price for a 1 basis point (0.01%) change in yield. Also known as PVBP (Price Value of a Basis Point), it's the primary metric used by fixed income traders to quantify interest rate risk in dollar terms.

DV01 Formula:
DV01 = Modified Duration x Price / 10,000

Where:
- Modified Duration = Macaulay Duration / (1 + y/n)
- Price = Bond price as % of par (e.g., 98.50)
- 10,000 = Converts to per-basis-point sensitivity

DV01 vs Duration

While duration measures percentage price sensitivity to rate changes, DV01 translates that sensitivity into actual dollar amounts. This makes DV01 essential for:

  • Portfolio risk management - Quickly estimate P/L for rate moves
  • Hedging - Match DV01 between positions to create duration-neutral portfolios
  • Trading - Understand dollar risk before entering positions
  • Reporting - Communicate interest rate exposure in standardized dollar terms

Institutional Conventions

Professional fixed income traders typically quote DV01 in one of these forms:

  • DV01 per $100 face - Academic standard, useful for comparing bonds
  • DV01 per $1MM face - Industry standard for institutional trading
  • Position DV01 - Total dollar risk for your specific position size

Limitations

DV01 is a linear approximation that works well for small rate changes. For larger moves (50bp+), the actual price change will differ due to convexity. Additionally, this calculator assumes option-free bonds. For callable or putable bonds, use effective duration from option-adjusted spread (OAS) models.

Related Concepts

  • Dollar Duration - Price change per bond for a 1% (100bp) yield move
  • Key Rate Duration - Sensitivity to specific points on the yield curve
  • DV01-Neutral Hedging - Matching position DV01 to create immunized portfolios
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Frequently Asked Questions

DV01 (Dollar Value of 01) measures the dollar change in a bond's price for a 1 basis point (0.01%) change in yield. Also called PVBP (Price Value of a Basis Point), it's calculated as Modified Duration x Price / 10,000. A bond with DV01 of $0.05 per $100 face will change by approximately $0.05 for every basis point move in rates.

Duration measures percentage price sensitivity to rate changes, while DV01 measures dollar price sensitivity per basis point. DV01 = Modified Duration x Price / 10,000. Duration is useful for comparing bonds of different prices; DV01 is essential for calculating actual dollar risk in portfolios and hedging positions.

DV01 allows traders to quickly estimate profit or loss from rate movements. If you own $10 million face value of bonds with DV01 of $800 per million, a 25 basis point rate increase means an approximate loss of $800 x 10 x 25 = $200,000. DV01 is also critical for constructing duration-neutral hedges.

DV01 per million is the standard institutional quoting convention. It shows the dollar price change per $1,000,000 face value for a 1 basis point yield change. To convert: DV01 per $100 face x 10,000 = DV01 per $1MM. A typical investment-grade 10-year bond might have DV01 around $700-$900 per million.

For callable bonds, modified duration-based DV01 can be misleading because it doesn't account for the embedded call option. When rates fall, the issuer may call the bond, capping its price appreciation. For bonds with embedded options, use effective duration (calculated from option-adjusted spread models) to get a more accurate DV01 estimate.

DV01 provides a linear approximation that works well for small rate changes (1-10 basis points). For larger moves (50+ basis points), the approximation becomes less accurate due to convexity effects. The actual price change includes a convexity adjustment: Price Change = -Duration x Yield Change + 0.5 x Convexity x (Yield Change)^2.
Important Disclaimer

This calculator provides approximate DV01 values for educational purposes. It uses a linear (duration-only) approximation that works best for small rate changes and option-free bonds. Actual bond price changes may differ due to convexity effects, embedded options, credit spread changes, and other market factors. This is not financial advice.

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