标题: Duration of a floating rate note (swaps reading 38) [打印本页] 作者: Kingpin804 时间: 2013-4-22 06:45 标题: Duration of a floating rate note (swaps reading 38)
Eg: EOC reading 38 question 2
How to get the duration of four year pay floating receive fixed swap with quarterly payments. I understood that for fixed leg it is 75% of 4 years. But how did they get 0.125 for the floating leg?作者: Flok 时间: 2013-4-22 06:46
The general formula is
[(1/Q)/2 ] - N x 0.75
if semi-annual Q = 2
N is number of years
