Managing Present Value with Bond Futures

The Present Value of a Basis Point (PVBP) is used to manage interest-rate risk. PVBP is a measure that quantifies the change in price of a bond given a one-basis point shift in interest rates. The PVBP of a bond is computed with the following:

$$PVBPBond=\frac{Duration\times MarketValue}{100}$$

The PVBP of a bond futures contract can be computed with the following:

$$PVBPFutures=\frac{PVBPCTDBond}{CTDConversionFactor}$$

Use bnddurp and bnddury from Financial Toolbox™ software to compute the modified durations of CTD bonds. For more information, see Managing Interest-Rate Risk with Bond Futures and Fitting the Diebold Li Model.

See Also

convfactor | bndfutprice | bndfutimprepo | tfutbyprice | tfutbyyield | tfutimprepo | tfutpricebyrepo | tfutyieldbyrepo | bnddurp | bnddury

Related Examples

• Analysis of Bond Futures
• Fitting the Diebold Li Model
• Managing Interest-Rate Risk with Bond Futures

More About

• Bond Futures
• Supported Interest-Rate Instrument Functions
• Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects