Key Rate Duration formula, which one is correct?


schweser quicksheet

what’s your question?
The Schweser quicksheet formula and (10) are one and the same.
The only difference is that (10) adds a subscript `k’ (which will be a number) to the key rate.

The triangle \Delta (Delta) means `the change in’:
\Delta P V is change in portfolio value
\Delta r_k is change in key rate number k

We also have the difference in the sign.

Duration is quoted as a positive number but the effect of duartion is inverse the chnage in rates we be techincally correct we should have the negative sign.

But most people miss it off.

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