Hi guys,
In Reading 49, in measuring Yield Curve RIsk for a portfolio, we assume that all the Bonds held in the Portfolio are Zeros, but in real life that may not be the case many a times.
I wonder, how much this Key Rate duration tool, which is pretty straightforward and simple for Zeros, will be helpful to figure out the sensitiveness of Coupon bearing Bonds in a Portfolio to a non-parallel shift in Yield Curve?
Any idea?
Regards,
In Reading 49, in measuring Yield Curve RIsk for a portfolio, we assume that all the Bonds held in the Portfolio are Zeros, but in real life that may not be the case many a times.
I wonder, how much this Key Rate duration tool, which is pretty straightforward and simple for Zeros, will be helpful to figure out the sensitiveness of Coupon bearing Bonds in a Portfolio to a non-parallel shift in Yield Curve?
Any idea?
Regards,