Glossary
Interest Rate Duration
Interest rate duration measures the percentual change in value of a financial instrument per 1% of parallel movement of the yield curve. E.g. an instrument with a duration of 2 will loose approximately 4% of its value in case of a +2% parallel movement of the yield curve.
Yield Curve
Indicates the market interest rates for different tenors.
Credit Duration
Credit (spread) duration measures the percentual change in value of a financial instrument per 1% change in credit spread. E.g. an instrument with a credit duration of 3 will gain approximately 3% of its value in case of a -1% change of its credit spread.