INTEREST RATE SWAP DURATION. We know from the numerical example above that when the swap fixed rate falls, the fixed-rate payer  Key Rate Durations (KRD) have been invented exactly for that purpose. More specifically a Key Rate Duration K i is defined with respect to a given maturity T i and an absolute one-sided rate shift δ as follows: K i = (B--B +)/(2Bδ) Here B-is the bond's present value (dirty price) as calculated by a downwards bumped yield curve YC-described below. KEY RATE DURATION EXAMPLE: CURVE RISK Year Treasury Strip Curve Portfolio Cash Flow Market Value Duration PV Dollar Duration Portfolio Duration Contribution Dollar to Dollar Index Portfolio Market Value Index Market Value Index Duration Present Value Difference Over or Under Weight Porfolio DD Index 1.00 0.06 20.00 $10.00 $9.43 9.43 18.87 1.00 9.43 1.00 18.87 9.43 2.00 1.00 0.06 8.00 The DURATION function, one of the Financial functions, returns the Macauley duration for an assumed par value of $100. Duration is defined as the weighted average of the present value of cash flows, and is used as a measure of a bond price's response to changes in yield. Key rate duration is a measure of how a security's value changes when its yield changes by 1% for a certain maturity. The formula for key rate duration is: Key Rate Duration = (P-- P +)/(2 * 0.01 * P 0) Where P-= the security price after a 1% decrease in yield P + = the security price after a 1% increase in yield P 0 = the original security price The key rate duration of a given bond for a given maturity is the ratio of the percentage change in that bond’s price to the change in the par rate at that maturity, when the par rates at all other maturities remain unchanged.

Excel Formula Training. Formulas are the key to getting things done in Excel. In this accelerated training, you'll learn how to use formulas to manipulate text, work with dates and times, lookup values with VLOOKUP and INDEX & MATCH, count and sum with criteria, dynamically rank values, and create dynamic ranges.

An Excel date formula to log today's date, and a keyboard shortcut to add the current time; Microsoft Excel can basically do anything with data, if you just know how. This tutorial is another key step to adding skills to your Excel toolbelt. Let's get started. Excel Date and Time Formulas (Quick Video Tutorial) A Guide to Duration, DV01, and Yield Curve Risk Transformations DV01 naturally extend to a vector of partial DV01s or durations (key rate durations) and these are widely used in the finance industry. But partial DV01s or durations can be measured with respect to different rates:

The key rate duration is the approximate percentage change in bond price given a 1% change in the key rate (as opposed to the whole term structure or yield curve! That's the difference).

INTEREST RATE SWAP DURATION. We know from the numerical example above that when the swap fixed rate falls, the fixed-rate payer  Key Rate Durations (KRD) have been invented exactly for that purpose. More specifically a Key Rate Duration K i is defined with respect to a given maturity T i and an absolute one-sided rate shift δ as follows: K i = (B--B +)/(2Bδ) Here B-is the bond's present value (dirty price) as calculated by a downwards bumped yield curve YC-described below. KEY RATE DURATION EXAMPLE: CURVE RISK Year Treasury Strip Curve Portfolio Cash Flow Market Value Duration PV Dollar Duration Portfolio Duration Contribution Dollar to Dollar Index Portfolio Market Value Index Market Value Index Duration Present Value Difference Over or Under Weight Porfolio DD Index 1.00 0.06 20.00 $10.00 $9.43 9.43 18.87 1.00 9.43 1.00 18.87 9.43 2.00 1.00 0.06 8.00 The DURATION function, one of the Financial functions, returns the Macauley duration for an assumed par value of $100. Duration is defined as the weighted average of the present value of cash flows, and is used as a measure of a bond price's response to changes in yield. Key rate duration is a measure of how a security's value changes when its yield changes by 1% for a certain maturity. The formula for key rate duration is: Key Rate Duration = (P-- P +)/(2 * 0.01 * P 0) Where P-= the security price after a 1% decrease in yield P + = the security price after a 1% increase in yield P 0 = the original security price

17 Apr 2018 Duration is a measure of interest rate risk of a debt security. Macaulay duration, modified duration, effective duration and key rate duration are 

Key rate duration is the duration at specific maturity point on the yield curve. Keeping all other maturities constant, key rate duration is a measure of the sensitivity of a bond’s price to a 100 basis point change in yield for a given maturity. To enter a duration, type the hours, minutes and seconds with a colon separating each. If you have the duration formatting current, the value will be formatted to the right of the cell. If the formatting or typing is wrong, the cell will be left aligned. Hours, minutes and seconds only The key rate duration model describes the shifts in the term structure as a discrete vector representing the changes in the key zero-coupon rates of various maturities. Key rate durations are then defined as the sensitivity of the portfolio value to the given key rates at different points along the term structure. The key rate duration is the approximate percentage change in bond price given a 1% change in the key rate (as opposed to the whole term structure or yield curve! That's the difference).

A Guide to Duration, DV01, and Yield Curve Risk Transformations DV01 naturally extend to a vector of partial DV01s or durations (key rate durations) and these are widely used in the finance industry. But partial DV01s or durations can be measured with respect to different rates:

The key rate duration calculates the change in a bond's price in relation to a 100-basis-point (1%) change in the yield for a given maturity. When a yield curve has a parallel shift, you can use

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