All Rates Duration

Key All Rates Duration in KRD Rep refers to a special KRD value D linked to a simultaneous parallel shift of all key continuously compounded zero rates.

For details on the description below, refer to KRD
It is calculated as D = (P⁻ - P⁺)/(2ΔP), where Δ is the one-sided continuously compounded zero rate parallel shift and P is the unshifted dirty bond price.
The dirty bond price (P⁻ is calculated using the downward parallelly shifted yield curve YC⁻ reported in last row of the second column of Details
The dirty bond price (P⁺ is calculated using the upward parallelly shifted yield curve YC⁺ reported in last row of the third column of Details
In the limit Δ -> 0 this should equal the bond's modified duration (1/P)dP/dy, provided the yield y is defined as continuously compounded and carries the same conventions as those used in the zero rates.
The latter is also reported in Modified Duration