How is swap DV01 calculated?

DV01 = (NPV at +1bp - NPV at -1bp) / 2. For a payer swap (pay fixed): DV01 is positive (gains value when rates rise). For receiver swap: DV01 is negative.

How is DV01 used to hedge?

To hedge a bond DV01 of -$50,000/bp, enter a payer swap with DV01 = +$50,000/bp. Hedge ratio: notional of swap = (bond DV01 / swap DV01 per unit notional) x 10,000 bps per 1%.

Interest Rate Swap DV01 Calculator

Calculate DV01 (dollar value of a basis point) for interest rate swaps. Measure interest rate sensitivity and manage duration of fixed income portfolios using swaps.

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 It Works

Calculate DV01 (dollar value of a basis point) for interest rate swaps. Measure interest rate sensitivity and manage duration of fixed income portfolios using swaps

Each component has a specific meaning:

Swaps — The swaps recorded for the scenario being assessed.

Note: Interpret the swap dv01 result against the thresholds and context described above.

How to Use

Enter the swaps for the scenario you are assessing. Calculate DV01 (dollar value of a basis point) for interest rate swaps. Measure interest rate sensitivity and manage duration of fixed income portfolios using swaps. Use the swap dv01 result to inform your calculation.

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