标题: Reading 40: Risk Management Applications of Swap Strategie [打印本页]
作者: tycoon 时间: 2008-9-16 17:29 标题: [2008] Session 13－Reading 40: Risk Management Applications of Swap Strategie
CFA Institute Area 8-11, 13: Asset Valuation
Session 13: Risk Management Applications of Derivatives
Reading 40: Risk Management Applications of Swap Strategies
LOS b: Calculate and interpret the duration of an interest rate swap.
作者: tycoon 时间: 2008-9-16 17:30
For a pay-fixed counterparty, the duration of the swap will generally be (in absolute value terms):
|
| B) | equal to the duration of the fixed-rate payments. |
|
| C) | greater than the duration of the fixed-rate payments. |
|
D) | less than the duration of the fixed-rate payments. |
|
Answer and Explanation
Since the problem asks only about the absolute value, we can ignore the fact that the duration for this position will be opposite in sign to that we usually calculate. Although most of the duration is associated with the fixed payments, the next floating payment is predetermined. Therefore, for example, the duration of a quarterly-reset swap might be duration of fixed payments minus 0.25. Because she receives floating-rate cash flows, taking the payfixed/receivefloating position in a swap decreases the dollar duration of a fixed income portfolio.
作者: tycoon 时间: 2008-9-16 17:30
The duration of a pay-floating swap is obtained by:
A) | subtracting the duration of the floating-rate payments from the duration of the fixed-rate payments. |
|
| B) | adding the duration of the floating-rate payments to the duration of the fixed-rate payments. |
|
| C) | dividing the duration of the floating-rate payments by the duration of the fixed-rate payments. |
|
| D) | dividing the duration of the fixed-rate payments by the duration of the floating-rate payments. |
|
Answer and Explanation
The duration of a pay-floating swap is the difference between the duration of the payments. Expressed as a formula DPay-floating = DFixed-rate payments DFloating-rate payments.
[此贴子已经被管理员于2008-9-18 16:26:07编辑过]
作者: tycoon 时间: 2008-9-16 17:31
For a plain-vanilla interest-rate swap with annual reset and one year to maturity, which of the following is the swaps duration?
Answer and Explanation
Since this is an annual pay swap with 1 year left the durations of both the fixed and floating side are both 1 thus they cancel each other out so the overall duration of the swap to either side would be zero.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |