Net P&L of a two-leg book from DV01
Your rates book is long a bond with DV01 $800 and short a bond with DV01 $500 (DV01 is the dollar move per 1 basis point). Yields across the curve rise by 25 basis points. What is your net P&L, in dollars? (a loss is negative)
Show hints (2)+
- Net the DV01s: long loses, short gains on a yield rise (−800 + 500).
- DV01 is per basis point — multiply by 25, not 0.25.
Answer
Reveal answer →Final answer
-7500
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