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RT，在原版教材第四本的32页有这样一句话“For a portfolio of non-Treasury securities, spread duration equals portfolio duration.”
国债曲线本身的变动不是也有相应的久期吗，为什么这里说非国债的久期就等于利差久期呢，难道基准利率的变动引起的价格变化可以忽略吗？
我猜测是自己对久期的理解不够深刻，但又总想不明白，还望高人赐教。

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关键词：固定收益 Securities Portfolio Duration Portfoli 请教 收益

Spread duration is not what you suggest. Standard duration measures sensitivity to parallel shifts in the spot curve. Spread duration measures sensitivity to parallel shifts in an instrument's (typically option-adjusted) spread over Treasuries. It is widely used with floatering rate notes. Suppose you have a floater that was originally issued for seven years with a floating coupon of 6-month Libor plus 250 basis points. Now it is a year later. The issuer's notes are still trading at 250 over, but you are wondering what would happen to the value of the floater if that spread dropped to 150. Spread duration answers that question. The concept isn't so relevant for other instruments. For example, the spread duation of a fixed-coupon, non-callable corporate bond is simply its duration.

rygder 发表于 2011-2-1 19:04
RT，在原版教材第四本的32页有这样一句话“For a portfolio of non-Treasury securities, spread duration equals portfolio duration.”
国债曲线本身的变动不是也有相应的久期吗，为什么这里说非国债的久期就等于利差久期呢，难道基准利率的变动引起的价格变化可以忽略吗？
我猜测是自己对久期的理解不够深刻，但又总想不明白，还望高人赐教。

我又仔细研究了一下这句话，这句话的背景是在讨论计算Portfolio利差久期时，对包含Treasury和不包含Treasury的Portfolio有什么不同。
P19页EXHIBIT5中可以看到，计算一个Portfolio的SpreadDuration，只把其中非Treasury的Sector的SpreadDuration加权求和，而每个Sector的Spread Duration是假设和Duration是相等的。Treaury的Spread Duration等于零。有了这些，你在看看书上这句话就比较好理解了吧？

xia xia !!!

又学到了。。。赞赞