DURATION & RISK
Key Rate Duration
Measures sensitivity to a specific maturity point on the yield curve.
Formula
KRD_i ≈ (P_i,- - P_i,+)/(2P0Δy_i)
Variables: Prices under localized key-rate shocks
What it means
Measures sensitivity to a specific maturity point on the yield curve.
Example
Shock only the 5-year key rate up and down while holding other key rates fixed, then reprice.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
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