I was under the impression that
PV01_CALIBRATED_SUM is equivalent to Bloomberg’s DV01 definition for a swap:
(Down Principal - Up Principal)/(2x Shift)
And when I look at this for a swap across both legs I get something close to Bloomberg however when I look at this on the individual legs I get something quite different.
For a forward starting swap Bloomberg shows the float DV01 = 0 and for a 1mm notional 10y USD swap I’m looking at around -25 compared to the fixed leg of around +800. The Strata equivalents for the 10y are around 730 on the fixed leg and 140 on the float to give a total of 870, and non-zero on a forward starting float leg.
I am looking into this as I would like to calculate the duration of each leg based on dv01/pv
Could you advise on whether there is something which can calculate a swap leg dv01 similar to Bloomberg’s methodology, or an alternative to calculate modified duration?