price effect on yield-based DV01

[ajsa]

Hi David,

In the formula of yield-based DV01, the price has been offset from numerator and denominator so there is no price. I wonder why there is still price effect on yield-based DV01?

Thanks.

 

[David Harper CFA FRM]

Hi ajsa,

Price is in there...

the key relationsihip is DV01 = Modified duration * Price / 10,000
or DV01 = dollar duration/10,000

David