About Lesson
a. PVBP measures the change in the full value or price of the point for one basis point change in the YTM.
b. It can be calculated using the following formula:
c. It is also called PV01 (i.e. present value of one basis point) or DV01 (i.e. dollar value of one basis point in the U.S.).
d. We can also calculate the basis point value of a bond by money duration, which is the change in value in terms of currency, times a basis point.
BPV = Money Duration × 0.0001 |