Function YVBP within with keys returns the Yield Value of a Basis Point(s) of the referenced bond(s) as of a given reference date 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 D holds:
D = -(1/P)(dP/dy)
where y is an assumed given yield (flat yield to maturity) for our bond
and P is the bond's dirty price (NPV) as of Tˢ calculated according to the given yield y
Solving for the derivative dP/dy we get:
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 Tˢ 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 T₀ (typically today).
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.