bodhisattva

My definition of "duration" for non-US bonds is the change in the non-USD bond's value in response to 1% change in the U.S. yields. Yes, I am calculating the payoff (returns) in USD, and given that the change in the U.S. rates are not perfectly correlated with the changes in foreign rates (these, in fact, will also be influenced by the FX rates - interest rate parity), I am assuming that I will need to adjust each non-USD bond duration by a factor, which will show the correlation between the U.S. yield curve and non-U.S. curve in question...?