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DarienHacker

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tT
发表于 2011-7-13 14:56 | 只看该作者

Schweser 3pm -question 17.2

liability, receiving, question, decrease
Why would it decrease the liability duration if I am receiving fixed and and pay floating. Fixed duration is longer, wouldn't i be adding/extending the duration by going into the swap? Help?

 

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Windjam

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发表于 2011-7-13 14:56 | 只看该作者
linking the liability to LIBOR is to decrease the duration since you can take advantage of the low interest rate

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