KEY RATE DURATION
It measures the security’s security when holding all other maturities constantly or how the portfolio’s value changes by 1% for a specified maturity. To compute the key rate duration:
Key Rate Duration = (P- - P+)/(2 * 0.01 * P0)
Where P- = Security price after a 1% decrease in yield P+ = Security price after a 1% increase in yield P0 = Original security price
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ECONOMIC CALENDAR
| Time | Country | Indices | Period |
|---|---|---|---|
| 04:00 | Expected Annual Inflation 2y from now | 4 quarter | |
| 07:00 | Economy Watchers Survey | Oct | |
| 10:30 | New Yuan Loans | Oct | |
| 01:30 | Westpac Consumer Sentiment | Nov | |
| 01:50 | M2 Money Supply + CD | Oct | |
| 02:30 | NAB Business Confidence | Oct | |
| 08:00 | Prelim Machine Tool Orders | Oct | |
| 09:00 | CPI | Oct | |
| 09:00 | Harmonized CPI | Oct |
