On Tue, Aug 21, 2012 at 5:53 PM, Kirill Shemyakin <
[hidden email]> wrote:
> Is it possible to calculate DV01 (or PVBP) of IRS/XCCY in QuantLib?
Kirill,
you can do it numerically. Before passing them to your
instruments, wrap your curves in a ZeroSpreadedTermStructure and keep
a handle to the spread so that you can set its value. If you set the
spread to 0.0, you'll get the market NPV. If you set the dspread to
1bp, you'll get the perturbed NPV of the swap from which you'll get
the DV01. This works with any instrument, of course.
Hope this helps,
Luigi
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