- UID
- 223229
- 帖子
- 336
- 主题
- 65
- 注册时间
- 2011-7-11
- 最后登录
- 2013-9-25
|
Duration of a floating rate note (swaps reading 38)
Eg: EOC reading 38 question 2
How to get the duration of four year pay floating receive fixed swap with quarterly payments. I understood that for fixed leg it is 75% of 4 years. But how did they get 0.125 for the floating leg? |
|
发表于 2013-4-22 06:45
|