How is the spread duration/ spread DV01 for a T bill computed. For a bond paying fixed coupons, the spread DV01 is generally taken to be the yield DV01 (yield sensitivity). But the bond equivalent yield computation for T bills changes on the basis of time to maturity of the T bill (less than 182 days and greater than 182 days). So, is an alternative approach like the OAS model to be used?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.