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标题: Schweser 3pm -question 17.2 [打印本页]

作者: DarienHacker    时间: 2011-7-13 14:56     标题: Schweser 3pm -question 17.2

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?
作者: Windjam    时间: 2011-7-13 14:56

linking the liability to LIBOR is to decrease the duration since you can take advantage of the low interest rate




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