curriculum

schweser quicksheet

curriculum

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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