Can someone help me understand why the 5 part bond return uses duration & convexity, given a change to benchmark rates & spread, but it doesn’t use spread duration as well?
For fixed rate bonds, modified duration \approx spread duration.
Can someone help me understand why the 5 part bond return uses duration & convexity, given a change to benchmark rates & spread, but it doesn’t use spread duration as well?
For fixed rate bonds, modified duration \approx spread duration.