Question
22. Assuming the modified duration of the 5y and 7y swap are 4.25 a 5.75 respectively, find the swap notional needed for each tenor to
22. Assuming the modified duration of the 5y and 7y swap are 4.25 a 5.75 respectively, find the swap notional needed for each tenor to return the portfolio back to its target duration.
A.$198m and $146m respectively
B.$227m and $146m respectively
C.$198m and $183m respectively
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Accounting Information Systems The Crossroads of Accounting & IT
Authors: Donna Kay, Ali Ovlia
2nd Edition
132991322, 978-0132991322
