# Swap - Fixed rate versus float rate duration

Hi guyz,

In a swap, being a fixed rate payer why do we multiply the maturity of the swap by 75% to get the duration of the fixed leg swap.

Because the fixed leg of the swap (which has longer duration) can be deemed as a fixed-rate bond and usually fixed-rate bonds have a duration equal to 75% of their life.

Hope it helps

There.

That’s better.

much appreciated S2000magician.

Thanks for the info. Is the concept mentioned anywhere in the book? Or it is more based on practical experiences.

I don’t recall if it’s mentioned in the curriculum or not.

A (very, very rough) rule of thumb.

you need to read the white text well in the CFA Level III curriculum, definitely

Hello cpk123!!!

I am perplexed with how curriculum calculates the duration of the float component and rationale behind the calculation. Would you please explain me.

float = average of the time period the floating leg is due at.

E.g. a quarterly period float leg - has 0 duration at the start, and resets to the par value at the end of a quarter year. So average of 0 and 0.25 = 0.125 is the duration of the floating quarterly swap.

For a half year floating leg = (0 + 0.5)/2 = 0.25