Swap DV01
Definition · Level 11 · Pricing toolkit
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Dollar value of one basis point: how much a swap gains or loses when rates move 0.01%. About notional × annuity × 0.0001; a payer gains it for each basis point of rise, a receiver loses it.
Example
€10m 5-year swap, annuity 4.6 → €4,600 per bp; +40 bp gives a payer €184,000.
Where Tradecraft teaches it
Level 11 · Pricing toolkit, in the lesson “Swap risk, reference rates & options on rates”: DV01 for a swap, the overnight reference rates (SOFR, SONIA, €STR), caps, floors, swaptions and the swap spread.
Related terms
- Interest-rate cap / floorStrips of options on a floating rate: a cap pays when fixings exceed its strike (a borrower’s hedge), a floor when they fall below it (a lender’s…
- OIS (overnight index swap)A swap of a fixed rate against an overnight rate compounded over the period: SOFR (Secured Overnight Financing Rate), SONIA (Sterling Overnight…
- Swap spreadSwap rate minus the government bond yield of the same maturity.
- SwaptionAn option to enter an interest rate swap on set terms: the payer version is the right to pay fixed, the receiver version the right to receive fixed.
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