The duration of the fixed portion of a swap is 6 whereas the floating portion of the

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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 rates rise by 10 bps, who gains and by how much?

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Financial Markets And Institutions

ISBN: 978-0132136839

7th Edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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Posted Date: Apr 15, 2024 09:19 AM

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The duration of the fixed portion of a swap is 6 whereas the floating portion of the

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To determine the gain or loss resulting from a 10 basis point bps increase in interest rates on a sw... View the full answer

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