Mock - NP

CFA Level III
#1

in the first CFA Mock exam, a question asks for the Notional Principal to change duration using a swap, and information for three swaps is given. my questions is…do you always chose the swap with highest negative duration, and therefore the lowest NP? there was no explanation given. Thank you

#2

I would assume yes

#3

Yep.

#4

What I did was just used the different durations and see if any of the principal matched. Only the longest one matched. The question could of been worded better like, find the minimum notional amount.

#5

I though you should use the swap to match the actual duration just the longest, but there is no 5 year duration hence 3.5. Is that correct logic? This is LEHIGH case Q 2

#6

P. 453 Volume 5 shows how you would want to use the swap with the highest (or highest negative) duration because it will require the smallest notional principal.