Key Rate Duration using R code | allainews.com

Web: https://www.r-bloggers.com/2022/05/key-rate-duration-using-r-code/

May 6, 2022, 11:14 a.m. | sang-heon lee

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This post explains how to calculate the key rate durations (KRD). Ho (1992) introduces KRD to measure non-parallel movements of the yield curve that the existing duration measures can not describe as these are defined under the assumption of ...

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