Duration of short position in a fixed rate bond position, follow, paying, second

maratikus

In determining the duration of fixed paying swap, the calc is    DUR Float - DUR Fixed.  I get the calc for DUR Float, but if the DUR fixed isn’t given, I’m not sure how to calc it.
The CFAI text Reading 38 p384 gives an explanation in the second paragraph that I just couldn’t follow.  Anyone have a grasp on this?

grharmeyer

75% of lenght of swap?
e.g. 2 years * 0.75 =1.5 - Duration

hanvinh

75% is it by default?  If so, great,  why do they go through the calc in the book?

dmrktrading

484
Original Floating rate (Pay Floating, Quarterly) = -0.5 * .25 = -0.125
Now by converting to fixed since you feared rising interest rates
your duration of the Swap = -0.75 * Maturity (Pay Fixed) + 0.125 (receive fixed)
so your net duration changed to -0.75 * Maturity of Loan.
IF loan was a 1 year loan, your net duration increased 6 fold = (0.75/0.125)
that is all :!