# Dollar Duration Swap - Volume 4 pg 121

Floating-Rate Payer: Dollar Duration Swap = (\$Duration of Fixed-rate Bond) - (\$Duration of Floating-rate Bond) It doesn’t seem to specify in the text but logic says that for a Fixed-Rate Payer: Dollar Duration Swap = (\$Duration of Floating-rate Bond) - (\$Duration of Fixed-rate Bond) Is this correct?

Yup! It’s Dollar Duration of Swap = \$Duration of Asset - \$Duration of Liability. Doesn’t matter which side you’re on, just remember asset - liability. Hmm… asset-liability=equity? I guess we could consider the dollar duration of the swap as the equity… and if it`s positive it would be an asset, otherwise a liability… does that make sense?

total sense… i don’t know why they didn’t present it in terms of “Asset” and “Liability” in the text… that’s just silly.

thank you Schweser WOC… !

alternatively, for swaps you ADD what you receive and SUBTRACT what your give. So for a fixed rate payer:: *you are paying fixed (therefore subtract) *you are receiving float (therefore add) dollar duration for fixed rate payer = (dollar duration of float) - (dollar duration of fixed)

So, long (own) a fixed-rate bond => “Receive” fixed coupon => Asset => + short a floating-rate bond => “Pay” floating coupon => Liability => - Am I right ?