key rate duration will, particular, individual, difference

chunty

ok is there a technical difference between key rate duration and rate duration? and when you are given a table. the rate which is given is it the rate of the individual security multiplied by its weight in the portfolio. or do you have to multiply the rate with the weight to come up with how a particular spot change will effect the portfolio?

How can you distinguish between which rate is given??? thanks

senlinlang

Key rate duration is the same as rate duration. It tells you the % change in value for 100 bps change in yield for a specific maturity. Effective duration is the weighted average of the key rates and tell you the % change in a portfolio given 100 bps paralel shift in the yield curve across all maturities. So it depends what they ask.

b_sea93

duration of ind security X weight to give key rate duration. Sum these up to get the portfolio duration.

Remember both calcs for effective duration and convexity.