A tool that is used to measure interest rate risk, especially that associated with swap trading books (swap book), bond trading portfolios and money market books. The basis point value (BPV) determines the magnitude of gain or loss on an investment position due to a small change (basis point or 0.01%) parallel movement in the yield curve. In this sense, this tool quantifies interest rate risk in terms of small changes in interest rates.
November 13, 2023