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  1. M

    Dv01 for interest rate swap

    Hi David, I was recently trying to price some IR swaps. I noticed that when I shock the yield curve up by 1bps at a single specific node, the DV01 is close to zero except at the node nearest the maturity. Nearly 100% of the DV01 for a parallel shift comes from the shock to the node near...
  2. M

    YouTube T4-43: Fixed Income: Key rate shift technique

    Hi David, Thank you so much for such a quick and precise answer. It's always a pleasure to learn from your content. Best, Marc
  3. M

    YouTube T4-43: Fixed Income: Key rate shift technique

    Hi David, I have the same question as the one discussed in the Youtube thread. Where does the formula of cells K34:K92 come from? I have looked at other threads and also at Tuckman's book but I do not know how to derive the formula. Best, Marc
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