PVBP by the yield change formula
Description of the PVBP by the yield change formula
Formula for the calculation of a bond's PVBP by the variation of its yield.
Formula
\[ PVBP = \frac{1}{100}\cdot \frac{dP_{g}}{di} \ \]
Symbols
\(Δi\ \)
Variation of the yield by 1 basis point
\(dP_{g}\ \)
Variation of the dirty price