medium · FRM Part 1 Financial Markets and Products
A risk manager is characterizing the DV01 of a seasoned pay-fixed interest-rate swap. The swap currently has a positive mark-to-market value.
How does the DV01 of the swap typically relate to the durations of the underlying legs?
- DV01_swap ≈ DV01_float - DV01_fixed
- DV01_swap is positive because the swap is currently an asset
- DV01_swap is always zero at every reset date
- DV01_swap ≈ DV01_fixed + DV01_float
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