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How to calculate PV01 when the Yield is negative

Submitted by bangemti on 1 March, 2013 - 10:30

Hi, given a bond Yield one can calculate the basis point value (PV01) of a bond using the Excel PRICE formula via PV01 = PRICE(bond with Yield) - PRICE(bond with Yield+1bp). However when the Yield is negative this calculation fails. Do you have a workaround for this. Thanks.

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Nick's picture

hi Tim..Initial

Submitted by Nick on 1 March, 2013 - 10:39.

hi Tim..
Initial thought:
depends on how accurate u need... if approximation, add a constant to the yield until it's +ve, then calc the PV01... as long as the yield isn't significantly -ve, this shld be close.
To get more accurate, add some convexity.

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