DV01 (Dollar value of one basis point) · Concepts

Roles that need it

DurationDuration measures how sensitive a bond's price is to changes in interest rates. Macaulay duration is the weighted average time to receive the bond's cash flows; modified duration gives the approximate percentage price change for a 1 percentage point change in yield. A modified duration of 6 means about a 6% price fall if yields rise by 1 point.
IR delta (Interest rate delta)Interest rate delta is the sensitivity of a position's value to small moves in interest rates, measured either for a parallel shift of the whole curve or bucket by bucket along the curve (key rate deltas). It is expressed per basis point, like DV01 (dollar value of one basis point), and is the first-order measure used to hedge and limit rate risk.
ConvexityConvexity measures how a bond's duration itself changes as interest rates move, the curvature of the price-yield relationship. A bond with positive convexity gains more when yields fall than it loses when they rise by the same amount; callable bonds and mortgages can show negative convexity.
Yield curveA yield curve plots the yields of bonds of the same credit quality, such as government bonds, against their time to maturity. Its level, slope and curvature summarise market expectations of rates and term premia; the European Central Bank (ECB) publishes daily euro area yield curves, including spot and forward rates.

Updated 31 Oct 2026.