How to calculate spread duration?

[lillilland]

I don’t remember reading how to approach this from Schweser notes…

 

[ymc]

2.53

 

[Slash]

It was in the Schweser notes but it was a bad example. They included the Treasury duration and weight in the spread duration. Obviously the spread duration of the Treasury will be 0 because you’re comparing it to itself! They included the Treasury weight and spread duration in the example though. Really stupid.

 

[itstoohot]

If memory serves me correct there were treasuries agencies and corporates, equally weighted:
so you need to assign 0.33 weight for each one and multiply it with spread durations, i saw some posters divided the weights 1/2 and 1/2 between agencies and corporates but it’s the wrong calculation.

 

[vanz1212]

What’s the spread duration of an individual corporate? Do you just subtract the duration of the appropriate treasury or is there more to it?

 

[drs]

how sensitive your portfolio is to changes in spreads over treasuries…

 

[happyking02]

i had 2.53

 

[drs]

^ correct

 

[engineer2finance]

itstoohot Wrote:
——————————————————-
> If memory serves me correct there were treasuries
> agencies and corporates, equally weighted:
>
> so you need to assign 0.33 weight for each one and
> multiply it with spread durations, i saw some
> posters divided the weights 1/2 and 1/2 between
> agencies and corporates but it’s the wrong
> calculation.
thats right

 

[nailit]

2.53

 

[aegis]

2.53.
I had this note “For non-treasury bonds, spread duration is effective duration”

 

[quantforCFA]

2.53…u calculate it normally as you would for any weighted, except use 0 for the treasury spread duration

 

[LongOnCFA]

2.53

 

[jblazarus]

See EOC question 6 for Reading 29, vol 4

 

[Lord Farkward]

I had 4.
Yes, I screwed up.