Duration of FRA

effective, current, hearing, useful, input

Any useful input here?

I'm hearing maturity to effective date/365, effective to current date/365......

Very confused.

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发表于 2011-7-13 16:54 | 只看该作者

I'll tell you if you can't figure it out -

At termination, the value of the FRA is V = [(r - fixed rate)*fraction of year]/(1+ r*Fraction of year) and r here is some forward reference rate.

That means the value of the FRA now is V*Exp(-r1* t) where r1 is the rate from now until termination of the FRA. But duration is all about parallel shifts in interest rates so a change in r is the same as a change in r1. So now you need to calculate dV/dr and you're rolling...

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