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A pay - floating counterparty in a plain - vanilla interest - rate swap also holds a long position in a fixed - rate bond.
A payfloating counterparty in a plainvanilla interestrate swap also holds a long position in a fixedrate bond. If the maturity of the bond and swap are both two years, the duration of the position will be:
A Zero
B Greater than the duration of the bond alone
C Less than the duration of the bond but greater than zero
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