| Fixed-Income Toolbox™ | ![]() |
[PayFixDuration GetFixDuration] = liborduration(SwapFixRate, Tenor, Settle)
[PayFixDuration GetFixDuration] = liborduration(SwapFixRate, Tenor, Settle) computes the duration of LIBOR-based interest rate swaps.
PayFixDuration is the modified duration, in years, realized when entering pay-fix side of the swap.
GetFixDuration is the modified duration, in years, realized when entering receive-fix side of the swap.
Given the data
SwapFixRate = 0.0383;
Tenor = 7;
Settle = datenum('11-Oct-2002');
compute the swap durations.
[PayFixDuration GetFixDuration] = liborduration(SwapFixRate,...
Tenor, Settle)
PayFixDuration =
-4.7567
GetFixDuration =
4.7567
![]() | convfactor | liborfloat2fixed | ![]() |
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