The sensitivity of the price of a bond to a 100 basis point change to its option-adjusted spread. As the rate of the Treasury security in the option-adjusted spread increases, the rate of the option-adjusted spread also increases.
Related information about spread duration:
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Spread Duration: This estimates the price sensitivity of a specific sector or ... For example, corporate spread duration considers the widening or narrowing of the ...
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Definition of spread duration: The sensitivity of the price of a bond to a 100 basis point change to its option-adjusted spread. As the rate of the Treasury security ...
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7 Embedded options and effective duration; 8 Spread duration; 9 Average duration; 10 Convexity; 11 See also; 12 Notes; 13 References; 14 Further reading ...
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posure to yield curve shifts and corporate spread changes. 5-Year. Corp. Zero 0 1 150 bo. THE SPREAD DURATION CONCEPT. -. 76 - ' s-~ear. - Treasury Zero ...
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How to Calculate Spread Duration. Spread duration is an advanced bond concept. Spread duration looks at how the price of a bond will change when ...
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product of market weight, spread duration, and spread. For example, an ... points and spread duration of three years is equivalent to an overweight of 3% using ...