Derivatives

Weighted Average Rate Option

September 8, 2021
Accounting

Receivables

September 8, 2021

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A metric that captures the dollar change in the value of a credit default swap (CDS), or a CDS position, for a basis point parallel change in the interest rate curve. In other words, it is the difference between the market value of the swap and its value based on a one basis point movement of the interest rate curve.

IR DV01 is an interest rate sensitivity measure.

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