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Modified duration vs Spread duration
Hi guys-Just wondering what's the different between the two? I am looking at a eurobond and spread duration is almost 0.5 higher. Which one is most used in the finance circles? Shortly, which duration metric does matter?Thanks!
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- Baghead2010
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Modified duration vs Spread duration
If you are interested in the sensitivity to the overall interest rate level -> modified duration.If you are interested in the sensitivity to the spread above some interest rate benchmark -> spread duration.