标题: duration of swaps [打印本页] 作者: Kingpin804 时间: 2013-8-19 09:12 标题: duration of swaps
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?作者: brain_wash_your 时间: 2013-8-19 09:13
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?作者: Kapie 时间: 2013-8-19 09:14
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?
