Swap DV01¶
One-line definition¶
Dollar change in an interest rate swap's value for a one-basis-point move in the fixed rate.
Approximation¶
swap_dv01 in src/pm/fixed_income/swaps.py treats the swap's fixed leg as
a par bond (coupon = swap rate, priced at par) and reuses dv01().
Why PMs care¶
Swaps let a PM add or remove duration without trading the cash bond market — sizing that trade requires the swap's DV01, same units as a bond's.
Limitations¶
This is a fixed-leg proxy. It ignores floating-leg resets and Libor/OIS discounting basis, and is least accurate for deeply off-market swaps.