inverse floater duration（反向浮动利率久期）

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a 1-year swap，yielding=4%，duration=0.95，a 1-year inverse floater with a coupon of 12%-2LIBOR(3 month)has been just reset and is trading at par.The duration of the inverse floater will be close to

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关键词：Duration floater inverse ration ratio close

duration 等于下一个reset day. 我理解是没3个月reset一次? 如果是这样的话, 就应该是3个月了.

"a 1-year swap，yielding=4%，duration=0.95，a 1-year inverse floater with a coupon of 12%-2LIBOR(3 month)has been just reset and is trading at par.The duration of the inverse floater will be close to"
1.trading at par,so,w*(12%-2*3M Libor)+(1-w)*3M Libor=4%=Inverse FRN yielding at 4%
   take differential on 3M Libor,2w=1-w,optimal w=1/3
2.1-y swap,duration=0.95=1-Duration(floating),so D(floating)=0.05;
3.Duration of Inverse FRN:
   D(Inv. FRN)*1/3+D(floating)*2/3=1 (because it's 1y note,D(fix)=1)
   D(Inv. FRN)*1/3=1-0.05*2/3
   D(Inv. FRN)=3-0.1=2.9

wish these help,cheers,friend

interesting ....

serkise 发表于 2012-8-21 12:51
"a 1-year swap，yielding=4%，duration=0.95，a 1-year inverse floater with a coupon of 12%-2LIBOR(3 m ...

float bond's duration is zero? so i think the equation should be like this:
1/3d(float)+2/3d(inverse float)=0.95,and the d(IF)=0.95*3/2=1.425?  hope explain.