Spread Duration¶
One-line definition¶
Approximate price sensitivity to a change in credit spread.
Approximation¶
dP/P ≈ -SpreadDuration * dSpread
PM interpretation¶
A portfolio can be short Treasury duration yet long credit/spread duration.
Limitations¶
Spread moves can coincide with Treasury moves, liquidity changes, default repricing, and convex effects.
spread_pnl in src/pm/fixed_income/credit.py takes spread duration as a
given input, the same way key_rate_return_approximation takes KRD as
given — nothing here derives spread duration from a bond's OAS
sensitivity to spread. A full treatment needs the same option-adjusted
machinery already called out as conceptual-only in oas.md.