MM Mock #2 AM 7B - duration target vs. smallest notional
The objective (to me) appeared to enter into the swap that brings your duration from 4.2 to 6, so I went with Cairo since entering into the pay floating received fixed got you as close to 6 without going over (5.575, admittedly low). I ended up getting this wrong as the answer said the intention was to enter into the swap with the lowest notional. I didn’t see this laid out in the question, but I saw on this thread that the CFAI’s position is to always go for the swap with the lowest duration. Is “going for the lowest notional” always the approach to take on these questions?
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