CDS Dvo1 on excel
- Thread starter frm2008
- Start date
Hi frm2008,
I wish i had a good XLS for that. Apparently there is an approximation
What i just did (in 10 min or so, quickly, so please note I am not sure this is entirely correct) is I just added two sheets to the CDS pricer on the member page (the first is the typical Hull valuation, ignore it). (you can export this to excel by clicking File > Export as)
I added two pages, the third page prices the CDS at 5.01% (i.e., + 1 basis point). The second page (the copy of the first) contains the original pricing at 5%. So, here you have the CDS spread under 5% and with the rate shocked by + 1bps. Then (see bottom of 2nd sheet) I multiplied the incremental spread by the notional (so that's the increase in the dollar premium), then I computed the PV of the that incremental premium over the five years (that's the part i'm frankly not 100% sure about). So, that gives the change in PV of the premium payments due to 1 bps. But, again, it's just my view on a natural way to get the DV01 here, not sure it's totally correct.
David
I wish i had a good XLS for that. Apparently there is an approximation
What i just did (in 10 min or so, quickly, so please note I am not sure this is entirely correct) is I just added two sheets to the CDS pricer on the member page (the first is the typical Hull valuation, ignore it). (you can export this to excel by clicking File > Export as)
I added two pages, the third page prices the CDS at 5.01% (i.e., + 1 basis point). The second page (the copy of the first) contains the original pricing at 5%. So, here you have the CDS spread under 5% and with the rate shocked by + 1bps. Then (see bottom of 2nd sheet) I multiplied the incremental spread by the notional (so that's the increase in the dollar premium), then I computed the PV of the that incremental premium over the five years (that's the part i'm frankly not 100% sure about). So, that gives the change in PV of the premium payments due to 1 bps. But, again, it's just my view on a natural way to get the DV01 here, not sure it's totally correct.
David
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