|
- UID
- 222305
- 帖子
- 379
- 主题
- 21
- 注册时间
- 2011-7-2
- 最后登录
- 2015-12-5
|
Remember you are just making those assumptions because you are assuming you are in the middle of the life of the swap (hence half the duration for a variable). If you are valuing the swap right at the beginning, you do not take those 0.75 and 0.5 rules.
Can someone find the quote from the CFAI that takes the 0.75 for the fixed, never heard of that one. |
|
发表于 2011-7-11 19:30
|