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Given portfolio effective duration = 5.42 and spread duration = 6.25.
Schweser stated that for 50bps change in the zero volatility spread should lead to 6.25 / 2 = 3.125% change in portfolio value.
Why is 6.25 divided by 2? Is this the same as 0.5% x 6.25 = 3.125%?
Can’t find the formula anywhere, just want to make sure I am not confused. Thanks!
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