Basis point value

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In finance, basis point value (BPV) denotes the change in the price of a bond given a basis point change in the yield of the bond..[1]

Basis Point Value tells us how much money the positions will gain or lose for a 0.01% parallel movement in the yield curve. It is specified for interest rate risk and quantifies the interest rate risk for small changes in interest rates.


Notes[edit]

  1. ^ Martellini, Priaulet, Priaulet, Fixed-income securities. Wiley Finance, page 169