Any one has any idea to do this properly? In particular I am looking to produce IR DV01 in BBG’s CDSW, which according to its definition IR DV01 is: the change in market value when swap curve is increased by 0.01%.
I’ve got a pretty close one by bumping the discount curve by 1bps, then produced a new price with bump and calculate IR DV01 as change in price (bumped - not bumped).
Any help is appreciated. Thanks!