infinitybenzo

GordGekko Wrote:
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> well, I'm just saying that you'll usually get a
> situation where you are currently part way through
> the coupon period, therefore its 50% of whatever
> time is left until payment. So, if your one month
> into a 6 month period, it would be a duration of
> 2.5 months.

Yes, OK, I agree. I feel sort of brain-dead today.

Third time's a charm, I hope.

Floating leg = 50% of the time remaining to the next coupon payment.