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Estimating Treasury Portfolio DV01 and Curve Risk

Article Quant Q&A · Author: A1122
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Summary

The document outlines a starting point for assessing interest rate risk in a portfolio of Treasury cash securities and futures. It suggests looking for published DV01 information for futures, while noting that broader market data may require a commercial provider. For cash bonds, it describes a calculation route: obtain price from yield, then reprice after shifting yield by one basis point to estimate DV01. Repeating repricing across relevant yield or curve points can support curve risk analysis.

The replies are brief pointers rather than a complete risk methodology. They do not specify conventions, instrument details, hedge ratios, or how to aggregate cash and futures exposures into a portfolio measure. The suggested data sources and pricing library are examples, not a guarantee that all required inputs are available or that calculations will align without consistent assumptions.

Key ideas

  • DV01 estimates the price sensitivity associated with a one basis point yield change.
  • A bond can be repriced after a small yield shift to estimate its DV01.
  • Curve risk analysis requires examining sensitivities across relevant rates or curve points.
  • Portfolio risk requires consistent instrument pricing and aggregation across cash bonds and futures.

Tags

Fixed incomeFuturesRisk managementDerivatives pricing
Full text
# Where to find risk report/models for treasury spreads trading?


# Where to find risk report/models for treasury spreads trading?












I trade a lot of treasury curves, so say I have a portfolio of treasury cash and futures products (longs and shorts). How do I find the portfolio DV01 risk and curve risk? I couldn't find anything that could help me get started online. If anyone has any resources please help.

## Answer by user28069 (score 0)

https://quant.stackexchange.com/a/34344

CME has DV01s on their website, I think only for futures. Beyond that you'll need a data provider such as bloomberg, reuters, or subscribe to barclays live.

## Answer by Alexander (score 0)

https://quant.stackexchange.com/a/34345

To calculate DV01 and curve risk you should be able to calculate price from yield first. You could probably take a look at QuantLib - it should able to price a bond from yield. Once you can do that, you can do whatever risk calculations you want. For example, to calculate DV01 you would change yield by 1 basis point and then reprice it.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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