标题: duration of the fixed side of a swap [打印本页] 作者: Wendy01 时间: 2011-7-11 19:47 标题: duration of the fixed side of a swap
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?作者: justin88 时间: 2011-7-11 19:47
dpcfa Wrote:
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> 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.作者: thommo77 时间: 2011-7-11 19:47
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.作者: Chuckrox 时间: 2011-7-11 19:47
kurmanal Wrote:
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> 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.作者: oneboy 时间: 2011-7-11 19:47
Just read this section again:
Fixed leg = 75% of maturity
Floating leg = 50% of the maturity作者: Windjam 时间: 2011-7-11 19:47
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.作者: Darien 时间: 2011-7-11 19:47
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.作者: infinitybenzo 时间: 2011-7-11 19:47
GordGekko Wrote:
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> 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.
