Basis point value refers to the absolute change of bond price caused by every change of accrued interest rate by one basis point, that is, the change value of bond price at 0.0 1 percentage point (1 basis point). The base point value is the absolute value of price change.
The base point value can be calculated by the following methods:
The original bond value is recorded as C0, the bond yield increases by one basis point, and the new value C 1 is calculated, while the bond yield decreases by one basis point, and the new value C2 is calculated, so the basis point value is (C2-C 1)/2.
The following table is a brief information of bonds. According to this information, the base point value can be calculated as: (100.8417-100.787)/2 = 0.02735. That is, the yield changes 1 basis point, and the bond value changes by 2.735 points.
Brief introduction of form bond information
Like duration, the basis point value will change with the change of yield: when the yield decreases, the basis point value of bonds increases; On the contrary, when the yield increases, the basic value of bonds decreases. Therefore, when the yield fluctuates greatly, there will be some error in measuring the value change of a bond asset with the basis point value. The greater the output, the greater the error.