Fixed-Income Toolbox™

liborduration - Duration of LIBOR-based interest rate swap

Syntax

[PayFixDuration GetFixDuration] = liborduration(SwapFixRate, 
Tenor, Settle)

`SwapFixRate`	Scalar or column vector of swap fixed rates in decimal.
`Tenor`	Scalar or column vector indicating life of the swap in years. Fractional numbers are rounded upward.
`Settle`	Scalar or column vector of settlement dates.

[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