lcai

FinNinja Wrote:
-------------------------------------------------------
> brucesteve22 Wrote:
> >
> > I know that for Swaps, you do 3/4 the maturity
> for
> > the Fixed Rate and 1/2 the reset date on the
> > variable.
>
>
> does it actually say somewhere in the curriculum
> that the fixed side duration can be estimated as
> 3/4 of the maturity? It seems incorrect to me to
> just assume this.

Yes it does say assume that. 3/4 of fixed rate side - 1/2 of time until reset.

I would however think it is written somewhere on the exam.



Edited 1 time(s). Last edit at Wednesday, May 18, 2011 at 01:56PM by Paraguay.