标题: Swap Duration [打印本页]

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作者: LPoulin133    时间: 2011-7-13 14:58     标题: Swap Duration

Easy one folks.

You enter fixed payer swap that receives semiannual payments. Assume that the fixed side has a duration of 3.

The duration of the swap to you is.

A) 2.75
B) -2.75
c) 2.5

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作者: NakedPuts00    时间: 2011-7-13 14:58

B

3 out, .25 in, = 2.75 out

neg 2.75

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作者: former    时间: 2011-7-13 14:59

B

(Assuming this is a plain-vanilla swamp, and you are receiving floating @ .25 duration)

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作者: Valores    时间: 2011-7-13 14:59

B

NO EXCUSES

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