Spot market Swaps. The steps to compute duration are the following:. Key rate durations also called partial Zero coupon bond duration maturity or partial durations are a natural extension of the total modified duration to measuring sensitivity to shifts of different parts of the yield curve.
Price sensitivity with respect to yields can also be measured in absolute dollar or euroetc. Popular Course in this category.
These Bonds avoid the risk of Reinvestment of Coupon Bonds as Interest Rates keep changing with the passage of time which impacts the Yield to Maturity of such coupon bearing Bonds. A strip bond has no reinvestment risk because the payment to the investor occurs only at maturity. Macaulay Duration A commonly used method to calculate duration is the Macaulay duration , developed by Frederick Macaulay in This is because the issuer can redeem the old bond at a high coupon and re-issue a new bond at a lower rate, thus providing the issuer with valuable optionality.
Bond convexity. Contact Fidelity for a prospectus or, if available, a summary prospectus containing this information.