Should the DUR be -3.75 years? This is a pay fixed receive floating swap. Given semi annual payments on should the DUR not be 0.25 - 4 = - 3.75. The answer key shows using -4.25.
The duration given in exhibit 1 is 6 so you take 75% of that, and for the semi annual payment you take 1/2 of that which is 0.25
so you have .25 (which is 1/2 the semi annual) - ( 6 which is the duration given * .75 ) = -4.25
Oh, c’mon! Everybody knows that 75% of 6 is 4.
Isn’t it?
