Сорy of What is the net duration of the Fixed for Floating swap below? Settle Date: 12/31/2021 12/31/2038 Maturity Date: Floating Index: Pay Frequency: Quarterly (both sides) Fixed-Rate Leg: Floating Rate Leg: 3M Libor 3.81% coupon 0.50% first floating rate reset rate

Сорy of What is the net duration of the Fixed for Floating swap below? Settle Date: 12/31/2021 12/31/2038 Maturity Date: Floating Index: Pay Frequency: Quarterly (both sides) Fixed-Rate Leg: Floating Rate Leg: 3M Libor 3.81% coupon 0.50% first floating rate reset rate

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Question

Copy of
What is the net duration of the Fixed for Floating swap below?
Settle Date:
12/31/2021
12/31/2038
3M Libor
Maturity Date:
Floating Index:
Pay Frequency: Quarterly (both sides)
Fixed-Rate Leg:
Floating Rate Leg:
3.81% coupon
0.50% first floating rate reset rate
12.75
12.22
12.52
16.28

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