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Hi David, Thank you. However, I think your calculation still holds for duration = 2x only. I still don't understand when leverage is 2, how duration = 3x is calculated? Can you kindly illustrate? Thanks. Cheers! Liming

Dear David, May I check with you if my following calculation for the inverse floater with leverage of 2 is correct? $50 MM inverse @ 8% - LIBOR = Long $150 MM fixed @ 4% - Long $100 MM floating rate @ LIBOR since duration of floater = 0, dollar duration of other must equal...