Key Rate Duration
Overview
The traditional measure of duration measures the change in the price of an instrument to changes in
its yield to maturity. This is typically interpreted as a parallel move of the entire yield curve upwards.
Key rate duration is designed to measure the sensitivity of the instrument's price due to changes in
specific rates on the curve.
{% \frac{\Delta P}{P} = - \sum_i D_i \times \Delta y_i %}
Here {% D_i %} is the duration (sensitivity) to the {% i^{th} %} rate.
Duration and Credit
see
Nawalkha chap 11
