Re: Trouble with calculating the PV01 using QuantLib::Cashflows

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Trouble-with-calculating-the-PV01-using-QuantLib-Cashflows-tp7110p7111.html

On Mon, 2009-04-06 at 09:11 -0700, [hidden email] wrote:
> Firstly, am I right in thinking that the bps is equivalent to the
> PV01?

Not exactly. The PV01 is the change in the bond price if you modify its
yield by 1 basis point.  The BPS is the change in the bond price if you
modify its coupon rate by 1 basis point.  I don't think that we have a
ready-made function to calculate PV01 at this time, but you can get it
numerically by adding the basis point manually and recalculating the
bond price.

Luigi


--

Better to remain silent and be thought a fool than to speak out and
remove all doubt.
-- Abraham Lincoln



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