make DV01 per basis point and not per point (#97)

Author: alecloudenback

src/financial_math.jl

@@ -277,6 +277,10 @@ Calculates the Macaulay, Modified, or DV01 duration. `times` may be ommitted and
 
 When not given `Modified()` or `Macaulay()` as an argument, will default to `Modified()`.
 
+- Modified duration: the relative change per point of yield change.
+- Macaulay: the cashflow-weighted average time.
+- DV01: the absolute change per basis point (hundredth of a percentage point).
+
 # Examples
 
 Using vectors of cashflows and times
@@ -341,7 +345,7 @@ function duration(d::Duration, yield, cfs)
 end
 
 function duration(::DV01, yield, valuation_function::Y) where {Y<:Function}
-    return duration(yield, valuation_function) * valuation_function(yield) / 100
+    return duration(yield, valuation_function) * valuation_function(yield) / 10000
 end
 
 """ 

test/runtests.jl

@@ -176,14 +176,16 @@ end
         @test duration(Macaulay(), 0.04, cfs, times) ≈ 1.777570320376649
         @test duration(Modified(), 0.04, cfs, times) ≈ 1.777570320376649 / (1 + 0.04)
         @test duration(0.04, cfs, times) ≈ 1.777570320376649 / (1 + 0.04)
-        @test duration(DV01(), 0.04, cfs, times) ≈ 1.777570320376649 / (1 + 0.04) * V / 100
+
+        # wikipedia example defines DV01 as a per point change, but industry practice is per basis point. Ref Issue #96
+        @test duration(DV01(), 0.04, cfs, times) ≈ 1.777570320376649 / (1 + 0.04) * V / 10000
 
         # test with a Rate
         r = Yields.Periodic(0.04,1)
         @test duration(Macaulay(), r, cfs, times) ≈ 1.777570320376649
         @test duration(Modified(), r, cfs, times) ≈ 1.777570320376649 / (1 + 0.04)
         @test duration(r, cfs, times) ≈ 1.777570320376649 / (1 + 0.04)
-        @test duration(DV01(), r, cfs, times) ≈ 1.777570320376649 / (1 + 0.04) * V / 100
+        @test duration(DV01(), r, cfs, times) ≈ 1.777570320376649 / (1 + 0.04) * V / 10000
 
         #test without times
         r = Yields.Periodic(0.04,1)