Bund, dv01

Fixed_Income_Trader · Nov 23, 2011

1. Could any kind soul out there give me the current DV01 (aka BPVs) value for the BUND?

2. Could you also say how you got 'em?

Thanks a bunch.
November -2011

Martinghoul · Nov 23, 2011

1. For the Dec bund contract I see 10.325 (136.075 ref price)

2. There's smth on the Eurex website that describes this procedure (attached), but the idea is simple. You take your CTD whose fwd price out of delivery date is implied by the price of the futures. Given this price you obtain fwd yield. Bump the yield to get the DV01.

Fixed_Income_Trader · Nov 24, 2011

Martinghoul said:
1. For the Dec bund contract I see 10.325 (136.075 ref price)

2. There's smth on the Eurex website that describes this procedure (attached), but the idea is simple. You take your CTD whose fwd price out of delivery date is implied by the price of the futures. Given this price you obtain fwd yield. Bump the yield to get the DV01.

Thanks for taking the time to reply to this post and for the very interesting attachment.

Bund, dv01

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Martinghoul

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