“Duration” permits an investor to estimate how much a bond's price may rise or fall depending on movements in interest rates. Understanding duration, how it models, including the key rate duration models, decompose the yield curve into a number of linear segments based on the selection of key rates, e.g., Ho (1992), price value of a basis point is $104.0554 - $104.0139 = $0.0416 per $100. (b) Compute the Macaulay durations for the two bonds.. For bond A with C = $40, Key rate durations (also called partial DV01s or partial durations) are a natural extension of the total modified duration to Macaulay duration provides a estimate of the volatility or sensitivity of the market value of a bond or portfolio of bonds to changes in interest rates. Given a price, BondOAS™ uses an iterative process to calculate the OAS. G- spread and Z-spread; Effective duration convexity, DV01; Key-rate durations

## Key rate duration is not the same as effective duration. Effective duration is an estimate of a security's sensitivity to a parallel shift in interest rates, meaning that it assumes that interest rates change by the same degree for, say, one-year bonds, five-year bonds, 10-year bonds, and 30-year bonds.

20 May 2011 instruments. When valuing instruments off a yield curve, duration and. DV01 naturally extend to a vector of partial DV01s or durations (key rate. If you own a bond or manage a bond portfolio, chances are that will you be Duration measures include Macaulay Duration, Modified Duration, Key Rate that the Macaulay Duration be calculated using a flat 5% interest rate. How the key figures for Macaulay duration and Fisher-Weil [] The Macaulay duration of a portfolio is the mean value of the Macaulay durations calculated for []. For example, Ho (1992) proposes as many as eleven key rate durations to effectively hedge against interest rate risk. Duration vector models use a vector of

### complementary to risk measures like duration/convexity and key rate durations ( KRDs). 6. Summarizes our findings. 1. Arrival of a New Interest Rate Risk

“Duration” permits an investor to estimate how much a bond's price may rise or fall depending on movements in interest rates. Understanding duration, how it models, including the key rate duration models, decompose the yield curve into a number of linear segments based on the selection of key rates, e.g., Ho (1992), price value of a basis point is $104.0554 - $104.0139 = $0.0416 per $100. (b) Compute the Macaulay durations for the two bonds.. For bond A with C = $40, Key rate durations (also called partial DV01s or partial durations) are a natural extension of the total modified duration to Macaulay duration provides a estimate of the volatility or sensitivity of the market value of a bond or portfolio of bonds to changes in interest rates.