dv01 ^ duration – software algorithm

Q: Do dv01 and duration present the same level of software complexity? Note most bonds I deal with have embedded options.

I feel answer is no. dv01 is “simulated” with a small (25 bps?) bump to yield… Eff Duration involves complex OAS. See the Yield Book publication on Durations.

In AutoReo, eff duration is computed in a separate risk system — a batch system… No real time update.

By contrast, eq option (FX option probably similar) positions need to have their delta and other sensitivities updated more frequently.

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