How is DV01 used to size a bond hedge?

Hedge ratio = portfolio DV01 / futures DV01. If portfolio DV01 is $50,000 per basis point and a 10-year Treasury future has DV01 of $80 per contract, short approximately 625 contracts to hedge. DV01 changes as yield moves, requiring dynamic rebalancing.

What is the difference between DV01 and PVBP?

DV01 and PVBP are synonymous: both measure dollar price change per 1 basis point yield change. DV01 is the more common term in the US; PVBP (price value of a basis point) is preferred in the UK. Both equal modified duration x dirty price / 10,000.

Dollar Duration DV01 per Million

Calculate DV01 (dollar value of 01, price value of a basis point) as modified duration times price divided by 10,000, representing the dollar change in bond value per 1 basis point yield change per $1 million face.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate DV01 (dollar value of 01, price value of a basis point) as modified duration times price divided by 10,000, representing the dollar change in bond value per 1 basis point yield change per $1 million face. Use the dv01 dollar duration result to inform your calculation.

Related Calculators

Modified Duration

Finance Long-tail

PVBP