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edit approved Mar 26, 2020 at 23:08
Martin Vesely
edit approved Mar 26, 2020 at 23:08
Martin Vesely
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Can you calculate Modified Durationmodified duration for sWAPSswaps?

I know how to calculate them for bonds. But it came to my mind this.

In bonds, Macaulay Durationduration technically is thea weighted average of coupon payments... But can it be somehow calculated for Swapsswaps? Or when dealing with swaps, you always need to proxy duration as the "contractual duration"?

Can you calculate Modified Duration for sWAPS?

I know how to calculate them for bonds. But it came to my mind this.

In bonds, Macaulay Duration technically is the weighted average of coupon payments... But can it be somehow calculated for Swaps? Or when dealing with swaps, you always need to proxy duration as the "contractual duration"?

Can you calculate modified duration for swaps?

I know how to calculate them for bonds. But it came to my mind this.

In bonds, Macaulay duration technically is a weighted average of coupon payments. But can it be somehow calculated for swaps? Or when dealing with swaps, you always need to proxy duration as the "contractual duration"?

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FridaTheDog
FridaTheDog
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Can you calculate Modified Duration for sWAPS?

I know how to calculate them for bonds. But it came to my mind this.

In bonds, Macaulay Duration technically is the weighted average of coupon payments... But can it be somehow calculated for Swaps? Or when dealing with swaps, you always need to proxy duration as the "contractual duration"?