Search results

Point taken, I'll adjust. Thank you.

Right, I calculate a yield-based modified duration based off of the model evaluated price (from S&P), which for me then would indicate a similar approach for the key rate durations?

Thank you, I am somewhat familiar with the various spread measures. I am however struggling a bit with how to use e.g. the US treasury curve when calculating key rate durations. The sum of key rates for a given security is supposed to converge to the same securitys modified/effective maturity -...

Hi David, Please forgive this possibly quite naive question. For a single bond, which yield curve should be used? A flat curve based on this bonds YTM? This seems to be the most widespread usage in the examples I have seen. Would it make sense to use the US Treasury yield curve? Regards, Casper