Interest Swap Modified Duration
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Hi,
I discovered the new interest rate swap functionality to instantiate a security and call various functions. I can't seem to easily calculate the interest rate duration of a swap. Is there a way to calculate interest rate duration? I see the dv01 output for the price function but this does not seem to reconcile to a dv01 I would expect. e.g. a 3yr swap with 100mm notional has a dv01 of around 15k rather than 30k. Any help would be greatly appreciated.
采纳的回答
Utkarsh Belwal
2021-2-4
0 个投票
Hi Cameron,
This is a bug in our current release, our developers are aware of it and it will be fixed in of our future release.
A workaround to resolve this issue is to replace the current Discount Pricer with the file that is attached in this answer. Please follow the below steps:
- Navigate to the following path: C:\ProgramFiles\MATLAB\R2020b\toolbox\fininst\fininst\+finpricer
- In the location, please replace the 'Discount.m' file with the file that is attached in this answer.
- Relaunch the MATLAB.
2 个评论
Cameron Shaw
2021-2-8
Thomas Schlott
2021-3-29
Hi Utkarsh,
the new version has a bug as well: for instruments with cpn = 0 the DV01 is always 2.5 - no matter what the maturity is.
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