That’s the general rule of thumb. If they don’t give you duration for fixed, there’s going to be no other way to calculate it, you have to use the shortcut, Maturity x 0.75 = ~Duration.
thanks, but do you have any reference?
according to schweser page 166 of book4, it is supposed to use half of payment reset period as duration for floating case but nothing is mentioned for fixed…
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.