首页 | 学习中心 | 注册 登录
返回列表 发帖
Kingpin804

UID
223229 
帖子
336 
主题
65 
注册时间
2011-7-11 
最后登录
2013-9-25 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2013-8-19 09:12 | 只看该作者

duration of swaps

different, liability, example, change, things
Notes book 5 los44b example indicates that to add a swap into a portfolio, the pay-fix side's portfolio duration will be reduced.
However, los44c indicates that to change floatiing-rate liability into fix-rate liability with swaps, the liability duration will be increased.
is that two different things?
收藏 分享

brain_wash_your

Rank: 2

UID
222268 
帖子
265 
主题
64 
注册时间
2011-7-2 
最后登录
2014-6-29 
2#
发表于 2013-8-19 09:13 | 只看该作者
还是有点糊涂。assets duration = liability duration + equity duration
a pay-fix liability has larger duration than a float one, liability duration will be increased, and so does the assets duration. right?

TOP

Kapie

UID
223384 
帖子
638 
主题
62 
注册时间
2011-7-11 
最后登录
2014-8-6 
3#
发表于 2013-8-19 09:14 | 只看该作者
你的例子中，如果企业将其浮动债务通过SWAP转换成了固定债务，这个PAY-FIX的SWAP本身加入企业资产时起到的作用是减少了企业资产的久期呢，还是增加了企业债务的久期了呢？or both?

TOP

redskins44

Rank: 2

UID
223432 
帖子
312 
主题
12 
注册时间
2011-7-11 
最后登录
2016-4-19 
4#
发表于 2013-8-19 09:15 | 只看该作者
终于想通了，duration of the portfolio actually should take into consideration of both assets duration and liability duration, fixed liability has higher duration than floating one, adding which may reduce the gap between assets duration and liability duration, hence reduce the equity duration. Right?

TOP

返回列表