Key Rate Durations > 30 years

Hi, can anybody confirm thtat it is not possible to calculate KRDs greater than 30 years?

It is possible to calculate them.

For any bond whose maturity is thirty years or less, they’ll all be zero.

Thanks. Would it be a reasonable assumption to apply the 30 year KRD treasury rates to the longer duration/maturity bonds? i.e. use the same rate for say the 70 year mark if the bond had a 2090 maturity date? Hope the Honda is still treating you well

My pleasure.

Alas, no. You would have to compute it for each separate bond. As an example, the 30-year key rate duration on a 30-year bond will be relatively high (on the order of 10 – 20 years, depending on the coupon rate and yield), while the 30-year key rate duration on a 40-year bond would likely be very low (less than one year), and possibly negative.

Right now it needs a new power steering unit (hardly surprising on a car with 240,000 miles on it), but Honda no longer makes them. So we either have to find one at a salvage yard or go with an after-market unit. I’ve been so busy lately that I haven’t had a chance to research it. Once the world gets back to some semblance of normal I will.

That’s good to hear, thanks for your help Bill

My pleasure.

Here’s an article I wrote on key rate duration that may be of some interest to you: