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Estimating Bond Forward DV01 by Shifting the Repo Rate

Article Quant Q&A · Author: Stephanie
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Summary

The document addresses how to estimate the DV01 of a bond forward when a forward price is available but the sensitivity is not. The suggested method is to shift the repo rate by one basis point, recalculate the forward price, and measure the change. This is a finite-difference estimate of the forward’s sensitivity to the repo rate, expressed as the price change for a one-basis-point move.

The exchange offers no worked calculation, market data, or comparison with other methods. It also does not clarify sign conventions, whether to use an upward or symmetric rate shift, or how the result depends on contract size and pricing assumptions. The method therefore serves as a practical starting point rather than a complete specification for reporting or hedging DV01.

Key ideas

  • A bond forward’s repo-rate sensitivity can be estimated by repricing it after a one-basis-point repo shift.
  • The resulting price difference is a finite-difference measure of DV01.
  • The exchange does not specify sign conventions or further calculation details.

Tags

Fixed incomeDerivatives pricingRisk management
Full text
# DV01 for Bond Forwards


# DV01 for Bond Forwards












Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01.

Thanks!

## Answer by Mac (score 0)

https://quant.stackexchange.com/a/82398

Well, just shift the repo rate by 1bp and see what is the change in Forward price? I guess that's DV01 for ya (change in price for 1bp change in interest rate).

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.