## YVBP

Function

**within Bond with keys Bond YVBP keys returns the**

*YVBP***ield**

*Y***alue of a**

*V***asis**

*B***oint(s) of the referenced bond(s) as of a given reference date**

*P*

*Tˢ*The yield value of a one basis point change in price is the derivative of the yield with respect to the price multiplied by 0.01

The exact calculation proceeds as follows:

By definition, for the modified duration

**holds:**

*D*

*D = -(1/P)(dP/dy)*where

**is an assumed given yield (flat yield to maturity) for our bond**

*y*and

**is the bond's dirty price (NPV) as of**

*P***calculated according to the given yield**

*Tˢ*

*y*Solving for the derivative

**we get:**

*dP/dy*

*dP/dy = -PD*Therefore the inverse derivative is:

*dy/dP = -1/(PD)*and this function's output is:

*0.01dy/dP = -0.01/(PD)*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.