Calculate IR DV01 of CDS

Strata
1

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!

2

When we looked at Bloomberg DV01 many years ago we couldn’t match it exactly either. No doubt there is something specific about their implementation. Strata offers presentValueSensitivity methods throughout the asset classes which aim to provide an equivalent (not identical) measure.