s*****d
发帖数: 114 | 1 for a plain vanilla swap, the duration for fixed-receiver is calculated to
be duration of fixed rate bond minus a very small number (reflecting the duration
from the floater b/w resets). this is well understood and I am fine with it.
the question is: if you model the cash flows of two arms, there is NO
principal exchange at maturity for either arm, this means instead of
modeling the swap as long fixed rate bond and short floating bond, it really
should be long fixed rate annuity and short floati |
D*******a
发帖数: 3688 | 2 swap不能用annuity来replicate。
annuity的cash flow跟bond不同，因为每次payment里面包括principle和interest
越到后面，interest越小，对duration的贡献就越小。
duration
it.
really
or
coupon.
【在 s*****d 的大作中提到】
: for a plain vanilla swap, the duration for fixed-receiver is calculated to
: be duration of fixed rate bond minus a very small number (reflecting the duration
: from the floater b/w resets). this is well understood and I am fine with it.
: the question is: if you model the cash flows of two arms, there is NO
: principal exchange at maturity for either arm, this means instead of
: modeling the swap as long fixed rate bond and short floating bond, it really
: should be long fixed rate annuity and short floati
|
i**********o
发帖数: 5993 | 3 It is interesting you call it two arms... |
i**********o
发帖数: 5993 | 4 That does not matter since
Dur(principal change at t = 0) = 0
and Dur(Principal change at t = T) are the same for fixed and floating legs
and they cancel each other. |
s*****d
发帖数: 114 | 5 NO!
Dur(Principal change at t = T) are NOT the same for fixed and floating legs
for a floater, duration is close to zero with or without a final principal
pay back; whereas for the fixed rate bond duration will be much shorter
without a final principal payment at maturity. They do NOT cancel out.
legs
【在 i**********o 的大作中提到】
: That does not matter since
: Dur(principal change at t = 0) = 0
: and Dur(Principal change at t = T) are the same for fixed and floating legs
: and they cancel each other.
|
i**********o
发帖数: 5993 | 6 legs
THEY ARE THE SAME
WITH FINAL PRINCIPAL, DUR IS NOT 0
whereas for the fixed rate bond duration will be much shorter |
s******e
发帖数: 1751 | 7 same cashflow should have same sensitivity for rates change, whether the
cash flow comes from floater or bond... |
i**********o
发帖数: 5993 | 8 thx for ur support
【在 s******e 的大作中提到】
: same cashflow should have same sensitivity for rates change, whether the
: cash flow comes from floater or bond...
|
n******r
发帖数: 4 | 9 My understanding is duration is additive per (CF, time) component.
Why would Dur(principal@T) be any different whether it's counted as part of
the fixed arm or floating arm?
legs
【在 s*****d 的大作中提到】
: NO!
: Dur(Principal change at t = T) are NOT the same for fixed and floating legs
: for a floater, duration is close to zero with or without a final principal
: pay back; whereas for the fixed rate bond duration will be much shorter
: without a final principal payment at maturity. They do NOT cancel out.
:
: legs
|
J*****n
发帖数: 4859 | 10
duration
it.
really
or
coupon.
因为floating rate没有所谓的YTM的概念，所以要算他的dollar duration，不能通过
fixed rate的duration公式去算，正确的做法是把floating分解为即将到期的fixed
rate和一系列的价值为0的forward contracts，然后可以通过公式算他的fixed part的
DV01，所得即为floating rate note的duration。
【在 s*****d 的大作中提到】
: for a plain vanilla swap, the duration for fixed-receiver is calculated to
: be duration of fixed rate bond minus a very small number (reflecting the duration
: from the floater b/w resets). this is well understood and I am fine with it.
: the question is: if you model the cash flows of two arms, there is NO
: principal exchange at maturity for either arm, this means instead of
: modeling the swap as long fixed rate bond and short floating bond, it really
: should be long fixed rate annuity and short floati
|
t********t
发帖数: 1264 | 11 This is totally wrong. Only with the final principal paying back, the
duration of the floating arm can be almost zero. Because with the principal,
the floating arm can be treated as a money market account with current
value = principal.
And with the final principal added to the fixed arm, the duration of the
fixed side equal to the duration of the coupon bond.
发信人: sirlord (sirlord), 信区: Quant
标 题: Re: A question on swap duration - thanks for help!
发信站: BBS 未名空间站 (Wed Jun 3 20:42:26 2009)
NO!
Du |
