## BPV

Function

**within Bond with keys Bond BPV keys - also known as DV01 - returns the**

*BPV***asis**

*B***oint**

*P***alue(s) of the referenced bond(s) as of a given reference date**

*V*

*Tˢ*It equals the change in NPV

**caused by an increase in yield by one basis point.**

*dP*Obtained by setting

**in the following 2nd-order Taylor series expansion.**

*dy = 0.0001*

*dP = delta*dy + ½*gamma*(dy)²*The coefficients

**are computed as follows:**

*delta, gamma***, where**

*delta = -D*P***is the bond's modified duration**

*D***, where**

*gamma = C*P/100***is the bond's convexity**

*C*If the settlement date

**is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the trade date**

*Tˢ***(typically today).**

*T₀*PRECAUTION: This function treats the referenced bond as if it were a fixed rate bond even if this is not the case!

All index-linked cash flows are treated as fixed cash flows that pay the amount forecasted by the corresponding curve.