Knowledge (XXG)

Basis point value

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Basis point value tells us how much money the positions will gain or lose for a 0.01% per annum parallel (i.e. uniform at all durations) movement in the
92: 17: 57:. It is specified for interest rate risk and quantifies the interest rate risk for small changes in interest rates. 97: 47: 39: 86: 21: 76:
Martellini, Priaulet, Priaulet, Fixed-income securities. Wiley Finance, page 169
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The basis point value of a bond is roughly proportional to its duration.
27: 8: 69: 38:) denotes the change in the price of a 7: 22:Bond duration § Money duration 14: 18:Yield elasticity of bond value 1: 114: 15: 93:Fixed income analysis 32:basis point value 105: 77: 74: 113: 112: 108: 107: 106: 104: 103: 102: 83: 82: 81: 80: 75: 71: 66: 24: 12: 11: 5: 111: 109: 101: 100: 98:Bond valuation 95: 85: 84: 79: 78: 68: 67: 65: 62: 46:change in the 13: 10: 9: 6: 4: 3: 2: 110: 99: 96: 94: 91: 90: 88: 73: 70: 63: 61: 58: 56: 51: 50:of the bond. 49: 45: 41: 37: 33: 29: 23: 19: 72: 59: 52: 35: 31: 25: 55:yield curve 44:basis point 87:Categories 16:See also: 42:given a 28:finance 64:Notes 48:yield 40:bond 20:and 36:BPV 26:In 89:: 30:, 34:(

Index

Yield elasticity of bond value
Bond duration § Money duration
finance
bond
basis point
yield
yield curve
Categories
Fixed income analysis
Bond valuation

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