How do you calculate duration of a zero-coupon bond in short-rate models such as Vasicek model?
If you compute duration as the sensitivity w.r.t. yield of the bond, the duration would be
equal to T, the time-to-maturity no matter which model you use. But if it is w.r.t. the short rate
r then it would depend on the model.
I want to know what is the accepted definition for duration of a zero. May be, it's the sensitivity
w.r.t. yield.
Can somebody suggest a book or paper that clarifies this?