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What Is Key Rate Duration and How Do You Calculate It?The formula follows the standard duration calculation but isolates the impact of a rate change at a specific maturity: Key Rate Duration = (P- – P+) ÷ (2 × 0.01 × P0) Repeating this process ...
Modified duration is a formula that measures the sensitivity ... individual bond investors because it helps them evaluate the impact of interest rate changes on their investments.
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