1
$\begingroup$

The generaliztaion of Macaulay duration (which is defined in terms of yield to maturity) is known as Fisher-Weil duration. How is Fisher-Weil duration or modified duration defined under non-parallel shift in spot curve?

$\endgroup$
1
$\begingroup$

When you want to consider arbitrary (i.e. non parallel) movements of the yield curve, the duration ( a scalar) is replaced by a vector of 'key rate durations' one for each maturity you wish to consider. investopedia.com/terms/k/keyrateduration.asp

$\endgroup$

Your Answer

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

Not the answer you're looking for? Browse other questions tagged or ask your own question.