SDX Interest Rates Help > What SDX Interest Rates Calculates > Pure DV01

Pure DV01

Like the DV01 result, the Pure DV01 result also displays the change in the market value for a 1 basis point shift of the yield.

However, when calculating the Pure DV01, after shifting the yield curve the system assumes that the volatility will not shift (i.e., it will stay constant) given a shift in the yield curve.

In SDX Interest Rates this result is only displayed for a European swaption.

This result is not enabled for your user by default. To enable it see Displaying the Pure DV01 Result for European Swaptions.