Swap Duration

payments, receives, enter, fixed

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

Valores

CFA Candidates

Rank: 2

UID: 222324
帖子: 403
主题: 7
注册时间: 2011-7-2
最后登录: 2015-11-28

4^#

发表于 2011-7-13 14:59 | 只看该作者

B

NO EXCUSES

TOP

former

游客

UID: 222293
帖子: 680
主题: 67
注册时间: 2011-7-2
最后登录: 2016-4-19

3^#

发表于 2011-7-13 14:59 | 只看该作者

B

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

TOP

NakedPuts00

CFA Candidates

Rank: 2

UID: 222287
帖子: 292
主题: 10
注册时间: 2011-7-2
最后登录: 2014-6-29

2^#

发表于 2011-7-13 14:58 | 只看该作者

B

3 out, .25 in, = 2.75 out

neg 2.75

TOP

返回列表

Swap Duration

[收藏此主题] [关注此主题的新回复]

[通过 QQ、MSN 分享给朋友]