Key-Rate Duration¶
One-line definition¶
Sensitivity to a yield change at a selected maturity/key point while holding the rest of the curve according to the chosen bump methodology.
Why PMs care¶
Two portfolios can have identical aggregate duration but very different curve exposure.
Approximation¶
dP/P ≈ -sum_k KRD_k * dy_k
Limitations¶
key_rate_return_approximation in src/pm/fixed_income/curve.py takes
KRDs as given inputs — unlike modified_duration, nothing in this repo
computes a bond's KRD profile from its cash flows (that needs bumping one
point on the curve at a time and repricing, holding the rest fixed).
Treat KRD as data you're given or estimate elsewhere, not something this
repo derives for you.