标题: Fixed vs. Floating Duration [打印本页] 作者: willsucceed 时间: 2011-7-11 15:21 标题: Fixed vs. Floating Duration
Why does having Fixed cash flows have a higher duration than Floating ?作者: former 时间: 2011-7-11 15:21
Floating duration is based upon the tenor of the floating leg..eg 3 m libor duration is 0.25作者: nannan66 时间: 2011-7-11 15:22
because floating rates reset often, thus they have a shorter duration作者: bpdulog 时间: 2011-7-11 15:22
There is some kind of flaw in this argument , that I can't pinpoint.
Are rates going to zero after the swap reset . Won't the floating rate reset to some reasonable rate after the reset? The calculation pretends that the floater has no obligation after the reset.作者: bboo 时间: 2011-7-11 15:22
Duration measures the linear interest rate sensitivity of interest rate sensitive instruments. For floating rate instruments, as you are not locked in fixed interest rate, your interest rate risk is limited only to next coupon reset date, so is duration.作者: mik82 时间: 2011-7-11 15:22
Thanks. I love CFA.作者: thommo77 时间: 2011-7-11 15:22
cfalover Wrote:
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> So which has a higher duration....Pay
> fixed/receive floating or....Receive Fixed/pay
> floating?
u tell me mr lover lover ..............in the first ur short duration .........you gave away the larger duration to receive the smaller duration..................
