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The duration of the fixed portion of a swap is 6 whereas the floating portion of the swap has a duration of 2. If interest
The duration of the fixed portion of a swap is 6 whereas the floating portion of the swap has a duration of 2.
If interest rates rise by 10 bps, who gains and by how much?
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To determine the gain or loss resulting from a 10 basis point bps increase in interest rates on a sw...
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
7th Edition
013213683X, 978-0132136839
