DV01
Dollar Value of one basis point. The dollar change in a bond's price for a 1 basis-point (0.01 percentage-point) move in yield. DV01 scales with bond duration: a 10-year Treasury has a much larger DV01 than a 2-year Treasury. The DV01-WEIGHTED sizing convention is the load-bearing risk-management decision in any curve trade -- equal DV01 across legs cancels parallel-shift exposure and leaves only curve-shape exposure. Without DV01 weighting, a notional-balanced curve trade is dominated by whichever leg has the most duration.
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Related terms
10Y Treasury · Altman Z-Score · Asset Sensitivity · Basel III · Bond ETF · Bretton Woods
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