I first did this last year

http://www.noelwatson.com/blog/PermaLink,guid,5c54efd9-9b42-480a-bb1a-01386a2c9d48.aspx

but realised that I hadn't got round to updating this when I was looking into a trader's query on DV01 calcs.

Changes include:

• Using maturity date rather than term
• Allowing Notional
• Calculating time to maturity using Actual/360 with effective date being T+1

Tests

1. Maturity 20/9/2012 (5 year trade) - 100bps

Our application gives 4489 (using I.R. of 4.73%)

and BBG gives 4487

 

2. Maturity 20/09/2017 (10 year trade) - 300bps

We get  6503 (using I.R. of 4.82%)

and BBG gets 6540

So we are within 1% of BBG which is adequate