注册 登录
上一主题：The ultimate discipline..
下一主题：Couple of suspicious questions from Elan mock
返回列表 发帖
Wendy01

Rank: 2

UID
222274 
帖子
339 
主题
76 
注册时间
2011-7-2 
最后登录
2013-9-15 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 19:47 | 只看该作者

duration of the fixed side of a swap

simple, payment, figure, frequency
is there a simple way we're supposed to be able to calculate this, the way that the duration of the floating side is simply one half the payment frequency?

what information do we need to be given to figure out the duration of the fixed side of a swap?

 

相关主题：

. share based payment 产生的DTA （ｂｐｐ练习册Ｂ１３）

. Treasury Spot Rates

. 求解！cfa一级关于accrued interest与full price计算的问题

. Level I的time value of money的题目

. CFA level 3 Mock 2008 Q1 Cii & Dii

收藏 分享

justin88

Rank: 2

UID
222316 
帖子
403 
主题
7 
注册时间
2011-7-2 
最后登录
2016-8-2 
2#
发表于 2011-7-11 19:47 | 只看该作者
dpcfa Wrote:
-------------------------------------------------------
> what information do we need to be given to figure
> out the duration of the fixed side of a swap?

The duration.

Not trying to be a smartass, but it's always given, far as I can tell.

They could give you a scenario where interest rates dropped X bps and the value of the fixed payments went up to Y and have you calculate it, but again, I've only ever seen it given.

TOP

thommo77

Rank: 3Rank: 3

UID
222320 
帖子
448 
主题
21 
注册时间
2011-7-2 
最后登录
2015-12-8 
3#
发表于 2011-7-11 19:47 | 只看该作者
I don't think they would ever not give the duration unless the question is very qualitative. If it is, you could assume it is close, but less than the tenor of the swap. Like kurmanal said 75% is good. So for a 4 year swap, duration might be 3ish.

TOP

Chuckrox

Rank: 2

UID
222315 
帖子
427 
主题
12 
注册时间
2011-7-2 
最后登录
2016-4-19 
4#
发表于 2011-7-11 19:47 | 只看该作者
kurmanal Wrote:
-------------------------------------------------------
> dpcfa Wrote:
> --------------------------------------------------
> -----
> > is there a simple way we're supposed to be able
> to
> > calculate this, the way that the duration of
> the
> > floating side is simply one half the payment
> > frequency?
> >
> > what information do we need to be given to
> figure
> > out the duration of the fixed side of a swap?
>
>
> CFAI says approximate using 75% of maturity


thanks, that's exactly what was done in a problem on one of the schweser exams and i didnt know where it was coming from. glad to hear there's a basis for it.

TOP

oneboy

Rank: 3Rank: 3

UID
218217 
帖子
493 
主题
94 
注册时间
2011-5-26 
最后登录
2012-9-12 
5#
发表于 2011-7-11 19:47 | 只看该作者
Just read this section again:

Fixed leg = 75% of maturity
Floating leg = 50% of the maturity

TOP

Windjam

Rank: 2

UID
222304 
帖子
402 
主题
6 
注册时间
2011-7-2 
最后登录
2016-8-13 
6#
发表于 2011-7-11 19:47 | 只看该作者
Thats not quite right. The floating leg is 50% of the remaining time to the next payment. So, if it's semi-annual, it may be less then 3 months.

TOP

Darien

Rank: 2

UID
222308 
帖子
397 
主题
6 
注册时间
2011-7-2 
最后登录
2016-8-1 
7#
发表于 2011-7-11 19:47 | 只看该作者
well, I'm just saying that you'll usually get a situation where you are currently part way through the coupon period, therefore its 50% of whatever time is left until payment. So, if your one month into a 6 month period, it would be a duration of 2.5 months.

TOP

infinitybenzo

Rank: 2

UID
222323 
帖子
377 
主题
10 
注册时间
2011-7-2 
最后登录
2016-2-5 
8#
发表于 2011-7-11 19:47 | 只看该作者
GordGekko Wrote:
-------------------------------------------------------
> well, I'm just saying that you'll usually get a
> situation where you are currently part way through
> the coupon period, therefore its 50% of whatever
> time is left until payment. So, if your one month
> into a 6 month period, it would be a duration of
> 2.5 months.

Yes, OK, I agree. I feel sort of brain-dead today.

Third time's a charm, I hope.

Floating leg = 50% of the time remaining to the next coupon payment.

TOP

返回列表
上一主题：The ultimate discipline..
下一主题：Couple of suspicious questions from Elan mock