A measure of a swap‘s value sensitivity to interest rate changes. The duration of a swap is equal to the…

The duration of the deliverable or underlying bond of a futures contract that is used as an estimate of the…

The dollar duration of an interest rate swap is the difference between the dollar duration of the two bond positions...

The dollar value of one basis point (DV01) is the derivative of price with respect to yield: This tool reflects...

The dollar duration is the derivative of price with respect to yield: This tool reflects the dollar (rather than the...

The dollar duration of an interest rate swap is the difference between the dollar duration of the two bond positions...

A bond duration that expresses the bond yield with a compounding frequency of a specific number of time per year,...

A credit spread derivative whose payoff is based on changes in the perceived credit quality of a reference credit as...

A tool that measures the average length of time the holder of a bond has to wait before receiving cash...

The level of asset duration or liability duration that is desired in the management of a portfolio. This duration represents...