Hi all,
Regarding key rate duration… In the examples in the curriculum key rate durations are only considered / calculated for some maturies, e.g. key rate durations are given for 2y, 3y, 5y, 10y, and 15y. Nevertheless, these given key rate durations add up to the effective duration, they should therefore include all relevant effects.
But what abould the other maturities (1y, 4y etc.). Are their effects included in some of the other given maturities or are they zero (which would seem quite odd to me).
Thanks for clarifying!