- Joined
- 1/8/13
- Messages
- 1
- Points
- 11
Hi guys,
I was wondering if anyone could please help me in utilising PV01 to estimate the value for the 21/12/12 of an interest rate swap to a change in BBSW rates between the 20/12/2012 and 21/12/2012?
Essentially I have a swap trade with known PV01 for the 20/12/2012, BBSW rates (curve dates for the 20/12/2012 and 21/12/2012) and the actual values for the IRS for the 20/12 and the 21/12 as seen below.
IRS details
Reference Rate – BBSW
Currency - AUD
Payment Frequency – 6 Month
Start date (payment) – 19/06/2013
End date (mty) – 19/06/2023
Values
PV01 (20/12/2012) Float – 34.4 (from vendor)
PV01 (20/12/2012) Fixed – 844.4 (from vendor)
PV (20/12/2012) Float – 983,842 (from vendor)
PV (20/12/2012) Fixed – 964,280 (from vendor)
PV (21/12/2012) Float – 984,470 (from vendor)
PV (21/12/2012) Fixed – 967,659 (from vendor)
I have tried to calculate an estimate value for the 21/12/2012 by using the the 10 year zero rate difference for the 20/12 and 21/12 (since the tenor of the swap is 10years) and used this to calculate the new swap value for the 21/12 for both the fixed and floating rate legs.
Rate Time 20/12/12 21/12/12
BBSW ON 3.000% 3.050%
BBSW 1W 3.024% 3.040%
BBSW 1M 3.140% 3.160%
BBSW 2M 3.150% 3.150%
BBSW 3M 3.140% 3.140%
BBSW 4M 3.150% 3.130%
BBSW 5M 3.130% 3.110%
BBSW 6m 3.100% 3.080%
ZERO 1y 2.965% 2.948%
ZERO 2Y 3.031% 3.002%
ZERO 3Y 3.167% 3.141%
ZERO 4Y 3.287% 3.273%
ZERO 5Y 3.419% 3.386%
ZERO 6Y 3.559% 3.529%
ZERO 7Y 3.688% 3.646%
ZERO 8Y 3.801% 3.757%
ZERO 9Y 3.900% 3.829%
ZERO 10Y 3.988% 3.936%
ZERO 12Y 4.166% 4.094%
Difference in 10 year rate - 3.988% - 3.936% = -0.052%
Value (21/20/2012) Float = 983,842 (20/12/2012 value) + (0.052*100*34.4)=984,021.8
Value (21/20/2012) Fixed = 964,280 (20/12/2012 value) + (0.052*100*844.4)=968,670.9
The above estimate values seem quite a fair bit off the actual values for the 21/12 (float - 984,470 and fixed – 967,659).
Am I on the right track? Or do I need to average the difference of each zero rate for each payment date and us this this rate with PV01??? I have read that PV01 is the change in present value in a 1bp parallel shift in the yield curve but there are no good examples out there on this so I am not sure how to factor this "parallel shift" in to find an estimate value with PV01.
Can anyone please help?
Alex.
I was wondering if anyone could please help me in utilising PV01 to estimate the value for the 21/12/12 of an interest rate swap to a change in BBSW rates between the 20/12/2012 and 21/12/2012?
Essentially I have a swap trade with known PV01 for the 20/12/2012, BBSW rates (curve dates for the 20/12/2012 and 21/12/2012) and the actual values for the IRS for the 20/12 and the 21/12 as seen below.
IRS details
Reference Rate – BBSW
Currency - AUD
Payment Frequency – 6 Month
Start date (payment) – 19/06/2013
End date (mty) – 19/06/2023
Values
PV01 (20/12/2012) Float – 34.4 (from vendor)
PV01 (20/12/2012) Fixed – 844.4 (from vendor)
PV (20/12/2012) Float – 983,842 (from vendor)
PV (20/12/2012) Fixed – 964,280 (from vendor)
PV (21/12/2012) Float – 984,470 (from vendor)
PV (21/12/2012) Fixed – 967,659 (from vendor)
I have tried to calculate an estimate value for the 21/12/2012 by using the the 10 year zero rate difference for the 20/12 and 21/12 (since the tenor of the swap is 10years) and used this to calculate the new swap value for the 21/12 for both the fixed and floating rate legs.
Rate Time 20/12/12 21/12/12
BBSW ON 3.000% 3.050%
BBSW 1W 3.024% 3.040%
BBSW 1M 3.140% 3.160%
BBSW 2M 3.150% 3.150%
BBSW 3M 3.140% 3.140%
BBSW 4M 3.150% 3.130%
BBSW 5M 3.130% 3.110%
BBSW 6m 3.100% 3.080%
ZERO 1y 2.965% 2.948%
ZERO 2Y 3.031% 3.002%
ZERO 3Y 3.167% 3.141%
ZERO 4Y 3.287% 3.273%
ZERO 5Y 3.419% 3.386%
ZERO 6Y 3.559% 3.529%
ZERO 7Y 3.688% 3.646%
ZERO 8Y 3.801% 3.757%
ZERO 9Y 3.900% 3.829%
ZERO 10Y 3.988% 3.936%
ZERO 12Y 4.166% 4.094%
Difference in 10 year rate - 3.988% - 3.936% = -0.052%
Value (21/20/2012) Float = 983,842 (20/12/2012 value) + (0.052*100*34.4)=984,021.8
Value (21/20/2012) Fixed = 964,280 (20/12/2012 value) + (0.052*100*844.4)=968,670.9
The above estimate values seem quite a fair bit off the actual values for the 21/12 (float - 984,470 and fixed – 967,659).
Am I on the right track? Or do I need to average the difference of each zero rate for each payment date and us this this rate with PV01??? I have read that PV01 is the change in present value in a 1bp parallel shift in the yield curve but there are no good examples out there on this so I am not sure how to factor this "parallel shift" in to find an estimate value with PV01.
Can anyone please help?
Alex.