// definition
DV01
Dollar value of one basis point
Short definition
The estimated local change in a position’s value for a 0.01-percentage-point move in interest rates. Expressed here as an absolute amount, it is approximated by interest-rate duration multiplied by market value and 0.0001. It depends on the position and the assumed rate shock; it is not a realised loss.
risk atlas
Knowledge map
Intuition
Expressing rate sensitivity in dollars helps size a hedge.
Formula
DV01 ≈ |interest-rate duration × market value| × 0.0001, in dollars per basis pointRelated analyses
Primary sources
- CME Group: Calculating the Dollar Value of a Basis PointMethod 2: duration, market value and limits of the local approximation.