Enter the modified duration and dirty price into the calculator to estimate the price value basis point PVBP.

PVBP Formula

The following equation is used to calculate the price value basis point.

PVBP = MD * DP * .0001

  • Where PVBP is the price value basis point
  • MD is the modified duration
  • DP is the dirty price

To calculate the PVBP multiply the modified duration by the dirty price, then divide by 10,000.

What is PVBP?

Definition:

PVBP, short for price value basis point, is a measure of the price sensitivity of a bond. It is depend on both the modified duration and the dirty price.

The dirty price is the price paid for the bond after taking into account the total accrued interest on the date of the purchase.

How to Calculate PVBP?

Example Problem:

The following example outlines the steps and information needed to calculate PVBP.

First, determine the modified duration. With the help of the calculator linked above, the modified duration is found to be 12.

Next, determine the dirty price of the bond. This is found to be $20,000.00 for this example.

Finally, calculate the PVBP using the formula above:

PVBP = MD * DP * .0001

PVBP = 12* 20,000 * .0001

PVBP =$24.00