A measure of a swap‘s value sensitivity to interest rate changes. The duration of a swap is equal to the difference between the durations of the two legs of the swap. Since payments on the fixed leg of an interest rate swap are equivalent to those of a fixed-rate bond, and payments on the floating leg are comparable to those of a floating-rate bond, then the net settlement cash flows on the swap can be used to figure out the swap’s duration. Both bonds should be priced at par value because the initial value of the swap is zero, as both legs are equal at outset.

Duration of a swap = duration of a fixed rate bond – duration of a floating rate bond

When the swap fixed rate drops, the fixed-rate payer loses market value, whilst the fixed-rate receiver gains value. As such, the swap has a negative duration to the buyer (long position) and positive duration to the seller (short position). The fixed leg has roughly a long duration, whilst the short leg has duration about time to reset.