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Modified duration vs Spread duration
Posted: August 15th, 2013, 6:02 pm
by rower32
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!
Modified duration vs Spread duration
Posted: August 15th, 2013, 10:25 pm
by acastaldo
Modified duration vs Spread duration
Posted: August 16th, 2013, 10:53 am
by Baghead2010
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.
Modified duration vs Spread duration
Posted: August 16th, 2013, 12:09 pm
by rower32
Thanks guys!