I’m a bit confused about when to use 0 or 0.25 as duration for cash. Can anyone help? Please.

As I understand it: Duration comes from coupon payments. 0.25 is the duration for floating rate, semi-annually (which is not cash) quarterly paying floating rate note would have duration of 0.125 (half of a quarter year) cash - even on your interest bearing bank account gets interest daily - so duration is converging to zero

I came across a question where cash duration was given as 0.25. If it’s not stated, I’m assuming 0.

Ditto

bpdulog — i think i remember this too. Was it a question bond futures question where you had to eliminate all duration, so if you used (ddtarget - ddport) / ddf , it was actually 0.25 for target instead of zero – If thats the one, then yah, so far i have only seen it once and unless given i’m going with zero

markCFAIL Wrote: ------------------------------------------------------- > bpdulog — i think i remember this too. Was it a > question bond futures question where you had to > eliminate all duration, so if you used (ddtarget > - ddport) / ddf , it was actually 0.25 for target > instead of zero – > > If thats the one, then yah, so far i have only > seen it once and unless given i’m going with zero Yes