标题: Duration of FRA [打印本页] 作者: DoubleDip 时间: 2011-7-13 16:54 标题: Duration of FRA
Any useful input here?
I'm hearing maturity to effective date/365, effective to current date/365......
Very confused.作者: NakedPuts2011 时间: 2011-7-13 16:54
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...作者: bpdulog 时间: 2011-7-13 16:54
