Reading 25 - spread calculation, duration vs maturity

Fixed income:

Page 243, for G-spread calucation we use maturities to calculate spreads.

Page 255, back to using duration to calulate interpolated spreads.

Can anyone explain this?

I see duration in both cases shown in the text.

That’s the problem!

CFA level 3 Errata corrects the whole exmpale (pg 243) and uses maturities, not duration.

So they wrote it to use effective duration and someone sent in and said it wasnt as accurate and it should be using maturity… And they posted an update.

If its on the test I bet they would only show in the information, duration or maturity but not both so as to not confuse.

From the website-

In section 3.1.1 (page 242 of print), third paragraph, the fourth sentence should be rewritten as indicated: “The yields of the two government bonds are usually weighted so that their weighted average maturity matches the credit security’s maturity.”

Does this mean we use duration only for non-governement bonds?

Ok thanks!

I wouldnt be too concerned about it. In the past papers, they were using maturity and effective duration interchangably. They gave a zero coupon bond with a maturity of 4 years and used that 4 years to calcuate the money duration lol.