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