A method of measuring the interest rate sensitivities of a fixed-income instrument or portfolio to shifts in key points along the yield curve. Sensitivity of a bond’s price to changes in specific maturities on the benchmark yield curve. Also called partial durations.
A method of measuring the interest rate sensitivities of a fixed-income instrument or portfolio to shifts in key points along the yield curve. Sensitivity of a bond’s price to changes in specific maturities on the benchmark yield curve. Also called partial durations.