Yield curve risk and sensitivities (DV01s) can be measured with respect to different variables: forward rates, par rates, zero yields, or others. This paper describes a simple method for transforming sensitivities between alternate representations and provides examples. The benefit of this transformation method is that it only requires calculating the risk of a small set of alternate instrument and does not require re-calculating the original portfolio risk.
This is a 35-page paper is available as a .pdf here on the CloseMountain site and also on SSRN. A digitally enhanced version in .cdf/.nbp format is also available with dynamic interactivity enabled (requires free Wolfram Player).