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Derivatives




Dollar Duration


The dollar duration is the derivative of price with respect to yield:

Dollar Duration

This tool reflects the dollar (rather than the percentage) change in price with respect to the yield of a fixed-income security (bonds, notes, etc) or a swap or any similar instrument (it can be even calculated for a portfolio). It measures the dollar price change per change (one basis point change) in yield.

It is also known as dollar value of one basis point (DV01), PV01 (present value of an 01), or BPV (basis point value).



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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