partial duration

partial duration
A duration measure calculated by changing one variable while all other variable are held constant. The most common example Is key rate duration where all variables are held constant except the yield for a specific maturity point on the yield curve. Another application of partial duration is the calculation of option-adjusted duration by changing a variable such the OAS while holding all other variables constant. American Banker Glossary

Financial and business terms. 2012.

Игры ⚽ Нужна курсовая?

Look at other dictionaries:

  • Duration — Die Duration ist eine Sensitivitätskennzahl, die die durchschnittliche Kapitalbindungsdauer einer Geldanlage in einem festverzinslichen Wertpapier bezeichnet. Genauer genommen und allgemein formuliert ist die Duration der gewichtete Mittelwert… …   Deutsch Wikipedia

  • Partial discharge — In electrical engineering, a partial discharge (PD) is a localised dielectric breakdown of a small portion of a solid or liquid electrical insulation system under high voltage stress. While a corona discharge is usually revealed by a relatively… …   Wikipedia

  • key rate duration — A measure of duration that calculates effective or empirical duration by changing the market rate for one specific maturity point on the yield curve while holding all other variables constant. May be done as part of a series of calculations that… …   Financial and business terms

  • Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • December 2009 lunar eclipse — Partial Lunar Eclipse December 31, 2009 Near maximum eclipse from Ireland The southern edge of the moon will completel …   Wikipedia

  • Decompression (diving) — Divers decompressing in the water at the end of a dive Decompression in the context of diving derives from the reduction in ambient pressure experienced by the diver during the ascent at the end of a dive or hyperbaric exposure and refers to both …   Wikipedia

  • Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …   Wikipedia

  • Fixed-income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio …   Wikipedia

  • Ultrashort pulse — In optics, an ultrashort pulse of light is an electromagnetic pulse whose time duration is on the order of the femtosecond (10 − 15 second). Such pulses have a broadband optical spectrum, and can be created by mode locked oscillators. They are… …   Wikipedia

  • Time in physics — In physics, the treatment of time is a central issue. It has been treated as a question of geometry. One can measure time and treat it as a geometrical dimension, such as length, and perform mathematical operations on it. It is a scalar quantity… …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”