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LOS b: Calculate and interpret the duration of an interest rate swap.
Q1. The duration of a pay-floating swap is obtained by:
A) adding the duration of the floating-rate payments to the duration of the fixed-rate payments.
B) dividing the duration of the floating-rate payments by the duration of the fixed-rate payments.
C) subtracting the duration of the floating-rate payments from the duration of the fixed-rate payments.
Q2. For a plain-vanilla interest-rate swap with annual reset and one year to maturity, which of the following is the swap’s duration?
A) 0.
B) 1.
C) 0.5.
Q3. For a pay-fixed counterparty, the duration of the swap will generally be (in absolute value terms):
A) greater than the duration of the fixed-rate payments.
B) equal to the duration of the fixed-rate payments.
C) less than the duration of the fixed-rate payments. | 
发表于 2009-4-10 11:06
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