A bond’s duration is a measure of the sensitivity of a bond’s full price
including accrued interest to a change in interest rate.
Fixed Income MCQ - Fixed Income Section 2
32
The sensitivity of bond to changes in a single spot rate, holding all other spot
rates constant is:
The key rate duration is the sensitivity of bond to changes in a single spot
rate, holding all other spot rates constant.
As interest rates go up, the future value of reinvested coupon payments
increases.
The duration measure reduces due to higher coupon rate, higher yield to
maturity, and shorter time to maturity.
