Chuckrox

kurmanal Wrote:
-------------------------------------------------------
> dpcfa Wrote:
> --------------------------------------------------
> -----
> > is there a simple way we're supposed to be able
> to
> > calculate this, the way that the duration of
> the
> > floating side is simply one half the payment
> > frequency?
> >
> > what information do we need to be given to
> figure
> > out the duration of the fixed side of a swap?
>
>
> CFAI says approximate using 75% of maturity


thanks, that's exactly what was done in a problem on one of the schweser exams and i didnt know where it was coming from. glad to hear there's a basis for it.