PVBP per million

CFA Level III Fixed Income
#1

Does anybody understand the table halfway done on page 149? They have PVBP per million. For first 5-year they end up with net effective PVBP for the 5 - year maturity of 0.0460.

Then last column it is PVBP per million and it is 460.

PVBP throughout book calculated per 10,000. So to get per million, you should multiple by 100. Instead of 460 it should be 4.60 for the PVBP per million calculation.

Why it 460. Unless the values given as percentages for PVBP receive fixed and all of them in that exhibit. Thank you.

You can see similar type of PVBP per million with BB 6. This one done how I think and correctly. Duration given as 1.98 for 2 year maturity and then last column of exhibit is 198 to get PVBP per million. Meaning they multiplied by 100 to get correct answer for PVBP per million.

Why they multiple by 100 here to get PVBP per million for BB6 but not for swap exhibit? Thank you.

#2

Here is same question but no answer:

#3

The PVBP in the table is calculated based on a notional of $100.

So $0.0460 per $100 notional, it scales to $460 per $1,000,000 notional (multiply by 1,000,000 / 100 = 10,000).

For BB6:
PVBP ~per ~\$100 ~par = 1.98 \times 100 /10,000 = 0.0198

When you scale to a $1,000,000, then you multiply by 10,000 (1,000,000 / 100):

0.0198 x 10,000 = $198

#4

That’s all good and thanks. But, it doesn’t mention anywhere that it’s based on a notional value of $100. I’m assuming they will have to mention that on the exam or am I missing something here?

Thanks again.

#5

Check out page 80 (last paragraph), followed by page 81, Equation 6.

#6

Thank you. Nice find.

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