The fixed-rate leg of a five-year US dollar interest rate swap with semi-annual settlement dates has a

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The fixed-rate leg of a five-year US dollar interest rate swap with semi-annual settlement dates has a duration of 3.7. Please determine the duration of the five-year interest rate swap.

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Global Derivatives A Strategic Risk Management Perspective

ISBN: 9781526411679

1st Edition

Authors: Torben Juul Andersen

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Question Posted: Nov 08, 2024 04:00 AM

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The fixed-rate leg of a five-year US dollar interest rate swap with semi-annual settlement dates has a duration of 3.7. Please determine the duration of the five-year interest rate swap.
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The fixed-rate leg of a five-year US dollar interest rate swap with semi-annual settlement dates has a

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Global Derivatives A Strategic Risk Management Perspective

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