Key Rate Duration

外汇网2021-06-19 20:54:18 45

Holding all other maturities constant, this measures the sensitivity of a security or the value of a portfolio to a 1% change in yield for a given maturity.

The calculation is as follows:

Where:

P_-= Security's price after a 1% decrease in yield

P₊= Security's price after a 1% increase in yield

P₀= Security's original price

|||There are 11 maturities along the Treasury spot rate curve, and a key rate duration is calculated for each. The sum of the key rate durations along a portfolio yield curve is equal to the effective duration of the portfolio.

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