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Partials PV01

Ilya W

Ilya W

Joined
9/5/04
Messages
60
Points
28
Hey Guys, question on partials PV01s.
The picture below is a book example:

View attachment 3738


Unfortunaetly there was no explanation in this book how the partial PV01s were calculated for the swap, for example for stress for 1bp in 1m cash rates we got PV01 = 8 for the swap (5.5 years, 100M notional).

How these PVs were calculated, it would be really helpful if someone could show how it is done for the 1m or any other bucket.

Thanks for the help.
 

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