DVBPDollar Value of a Basis Point
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References in periodicals archive ?
To continue with the example, the DVBP of the mortgages held in the mortgage portfolio is calculated, which, as it happens, is $0.068.
This is accomplished by multiplying the face value of the hedge obtained with the DVBP model by the adjustment beta.
At the time of the first refunding, the thrift would recalculate the size of the hedge based on its new level of mortgage principal, the new values of the DVBPs, and the yield beta for 19.75 year mortgages, as opposed to the earlier 20 year mortgages.