The dollar duration of an interest rate swap is the difference between the dollar duration of the two bond positions...
A measure of a swap's value sensitivity to interest rate changes. The duration of a swap is equal to the...
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.