IR vega (Interest rate vega) · Concepts · European Finance Observatory

Roles that need it

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.
DV01 (Dollar value of one basis point)DV01, also called PV01 (present value of a basis point) or BPV (basis point value), is the change in the value of a position for a one basis point (0.01%) move in interest rates. It turns duration into a money amount: a bond position worth 10 million with modified duration 5 has a DV01 of about 5,000.
OTC derivative (Over-the-counter derivative)An over-the-counter (OTC) derivative is a derivative contract negotiated and concluded bilaterally between two parties instead of on a regulated market, such as an interest rate swap, a currency forward or a credit default swap. In the EU OTC derivatives are subject to European Market Infrastructure Regulation (EMIR) clearing, risk mitigation and reporting rules.

Updated 31 Oct 2026.