pg 115 Vignette: " To finance their US operations, Anderson issued a 10mil fixed rate bond in the US 5 yrs ago. The bond had a original maturity of 10 yrs and now has a modified duration of 4.0. E states that Anderson should enter a 5 yr semiannual pay floating swap w/ a notional principle of about $11.4 mil to take advantage of falling interest rates. The duration of the fixed-rate side of the swap is equal to 75% of its maturity or 3.75 (0.75*5). The duration of the floating side of the swap is 0.25. P states that Anderson’s position in the swap will have a negative duration". The question is : where is the $11.4mil NP of the swap coming from? From the answer it says that: NP = 10,000,000 * 4 (duration of loan) / 3.5 (duration of the fix rate receiver) = 11.428 million But, should the NP of the swap simply the same as the original loan so that the fixed rate paying loan is netted into a floating rate paying loan?