PV of swap

dadeto · Post by **dadeto** » Fri Oct 22, 2004 4:36 pm

second one: when the yield is way below the coupon rate?

EDIT: Thanks strange!

FDAXHunter · Post by **FDAXHunter** » Fri Oct 22, 2004 4:55 pm

The technical term in fixed income isn't "time to expiry" but rather "maturity".

If you hate Fixed Income then it will hate you...

dadeto · Post by **dadeto** » Fri Oct 22, 2004 5:12 pm

After all this FI shea, I still have several questions. damn, I should never have started reading this thread!

[list=1]

[*]Why is that FDAX?
[*]Are my answers to my daily quizz right?
[*]Is the duration stuff approximation wrong? I don't think the two points about duration = maturity and duration > maturity contradict the npv approximation... Does a 0 coupon swap exist? If the coupon is >> yield, than (market swap rate - our swap rate) is very big and delta works only for "small" movements.
[/list]

Johnny · Post by **Johnny** » Fri Oct 22, 2004 5:29 pm

[i]The technical term in fixed income isn't "time to expiry" but rather "maturity".[/i]

With a structured product, which is after all the subject of conversation, it could either be maturity (like the bond part) or time to expiry (like the option part). The only point I was trying to make is that it certainly should not be duration, which is something else entirely.

[i][/i]

Johnny · Post by **Johnny** » Fri Oct 22, 2004 5:31 pm

[i]Are my answer to my daily quizz right?[/i]

First one yes, second one nope. Think about it Dudella ...

duration < maturity: positive coupon

duration = maturity: zero coupon

duration > maturity: ... ? ... ? ...

Tongue out