The dollar duration of an interest rate swap is the difference between the dollar duration of the two bond positions (the fixed rate bond and the floating rate bond) that presumably make up the swap. More specifically, the dollar duration of a swap for a fixed rate payer is the difference between the dollar duration of a floating rate bond and the dollar duration of a fixed rate bond.

Conversely, the dollar duration of a swap for a floating rate payer is equal to the dollar duration of a fixed rate fond minus the dollar duration of a floating rate bond. When the dollar duration of a floater leg is small, then the dollar duration of a swap for a fixed rate payer is simply the negative dollar duration of a fixed rate bond. This analysis is based on a view that considers a swap as a package of cash flows from purchasing and selling cash market instruments.

The dollar duration of a floating rate bond gets shorter as the swap becomes nearer to its reset date. If the dollar duration of the floating rate bond is approximately zero then the dollar duration of a swap for a floating rate payer is just equal to the dollar duration of a fixed rate bond.