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Wiki Entities · 2

DV01 is the dollar value of one basis point: how much the position’s mark changes if the yield (or the curve point you risk on) moves by 0.01%.

Modified duration is the percent price change for a 1% (100bp) parallel yield move — the first-order hedge ratio from the yield function.

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Encyclopedia · 1

DV01 is the dollar value of one basis point: how much the position’s mark changes if the yield (or the curve point you risk on) moves by 0.01%.

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