Price value of a basis point - Revision history

imported>Doug Williamson: Layout.

2016-01-15T23:35:17Z

Layout.

← Older revision		Revision as of 23:35, 15 January 2016
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	The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).		The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).

	~~Calculated~~ on an estimated basis from the modified duration as:
			PVBP can be calculated on an estimated basis from the modified duration as:

	PVBP = Modified duration x Price x 0.0001		PVBP = Modified duration x Price x 0.0001


	PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%).		PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%).
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	PVBP also varies with the current yield for the instrument or portfolio under review.		PVBP also varies with the current yield for the instrument or portfolio under review.


	Commonly shortened to PVBP or PV01.		Commonly shortened to PVBP or PV01.

imported>Doug Williamson: Category added 9/10/13

2013-10-09T14:16:29Z

Category added 9/10/13

← Older revision		Revision as of 14:16, 9 October 2013
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	* [[Basis point]]		* [[Basis point]]
	* [[Modified duration]]		* [[Modified duration]]

			[[Category:Risk_frameworks]]

imported>Doug Williamson: Spacing and italics added 21/8/13

2013-08-21T12:19:59Z

Spacing and italics added 21/8/13

← Older revision		Revision as of 12:19, 21 August 2013
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	(PVBP/PV01). The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).		(PVBP/PV01).

			The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).

	Calculated on an estimated basis from the modified duration as:		Calculated on an estimated basis from the modified duration as:

	PVBP = Modified duration x Price x 0.0001		PVBP = Modified duration x Price x 0.0001

	PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%). The PVBP calculated on this basis is then the difference between the two related market values.		PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%).

			The PVBP calculated on this basis is then the difference between the two related market values.

	The calculated PVBP will differ slightly, depending on the method of calculation.		The calculated PVBP will differ slightly, depending on the method of calculation.

	PVBP also varies with the current yield for the instrument or portfolio under review.		PVBP also varies with the current yield for the instrument or portfolio under review.

	Commonly shortened to PVBP or PV01.		Commonly shortened to PVBP or PV01.

	Also known as the Dollar value of a basis point (DVBP or DV01).		''Also known as the Dollar value of a basis point (DVBP or DV01).''


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	* [[Basis point]]		* [[Basis point]]
	* [[Modified duration]]		* [[Modified duration]]

imported>Administrator: CSV import

2012-10-23T14:20:27Z

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(PVBP/PV01). The expected or the actual money amount of the change in price of an instrument or portfolio, following a one basis point (0.01%) change in nominal annual yield (= 0.0001 as a decimal).

Calculated on an estimated basis from the modified duration as:
PVBP = Modified duration x Price x 0.0001

PVBP can also be calculated via a full recalculation of the market value of the instrument or portfolio at each of the two yields (differing by 0.01%). The PVBP calculated on this basis is then the difference between the two related market values.

The calculated PVBP will differ slightly, depending on the method of calculation.
PVBP also varies with the current yield for the instrument or portfolio under review.

Commonly shortened to PVBP or PV01.

Also known as the Dollar value of a basis point (DVBP or DV01).

== See also ==
* [[Basis point]]
* [[Modified duration]]