2014 morning essay Q9

why is the duration of fixed leg recognized as 75% of its maturity?

That’s the general rule of thumb. If they don’t give you duration for fixed, there’s going to be no other way to calculate it, you have to use the shortcut, Maturity x 0.75 = ~Duration.

thanks, but do you have any reference?

according to schweser page 166 of book4, it is supposed to use half of payment reset period as duration for floating case but nothing is mentioned for fixed…

reference is the text