Re: [Quantlib-users] How can one calculate a Vanilla Swap DV01 / Delta?

[Circo G. (DAM) <giu...@de...>]

Hi,

you can use qlVanillaSwapFixedLegBPS to compute the dv01 of fixed leg,

for convexity I think you have to recalculate it by shifting up and down
de curve and then using the following formula:

Libor_Convexity = (PV_SWAP_shiftdown + PV_SWAP_shiftup - 2 * PV_SWAP) /
(PV_SWAP * 2 * (Rate_BP_Shift_Up / 10000) ^ 2)

where Rate_BP_Shift_Up = 1

regards,




-----Original Message-----
From: ElMariachi [mailto:lo....@gm...] 
Sent: 20 September 2010 21:16
To: qua...@li...
Subject: [Quantlib-users] How can one calculate a Vanilla Swap DV01 /
Delta?


As a basic risk measure, how can I calculate a vanilla interest rate
swap's DV01/Delta and Convexity?
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