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YTM

It stands for yield-to-maturity; the percentage annual rate of return (discounted) which is paid on a fixed-income security (such as...

Yield-To-Maturity

The percentage annual rate of return (discounted) which is paid on a fixed-income security (such as a bond, note, gilt,...

DV01

It stands for dollar value of one basis point; DV01 captures the effect of a one-basis movement in interest rates...

DVDZ

It stands for dollar value dollar spot; a special case of DV01 that represents a change in the price of...

DPDZ

It stands for dollar price dollar spot; a special case of DV01 that represents a change in the price of...

DPDF

It stands for dollar price dollar forward; a special case of DV01 that represents a change in the price of...

DVDF

It stands for dollar value dollar forward; a special case of DV01 that represents a change in the price of...

Yield-Based DV01

A special case of DV01 (actually it is similar to DV01), but it is based on the assumption that the...

Nonlinear Derivative

A derivative or fixed-income security which features high convexity, i.e., its sensitivity changes with the passage of time or with...

Linear Derivative

An option-related instrument or fixed-income security which features low or no convexity, i.e., its sensitivity changes with the passage of...