标题: spread duration [打印本页]

---

作者: willsucceed    时间: 2011-7-13 17:25     标题: spread duration

what is spread duration?

I know spread,and I know duration
but I cannot understand spread duration

could anyone give me an example to clarify?

---

作者: Iginla2011    时间: 2011-7-13 17:25

It's the same as portfolio duration when there are non-treasuries in the portfolio.

---

作者: Analti_Calte    时间: 2011-7-13 17:25

If you know duration, just subtitute "Interest Rate" with "Spread over a treasury of the same maturity".

Note the LOS only states "Explain the importance of spread duration". So don't get too bogged down by it.

---

作者: infinitybenzo    时间: 2011-7-13 17:25

Yes, it's the price sensitivity of a non-treasury bond to 100 bps change in spread (over treasuries).

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2