key-rate-duration

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    Interest Rate Swaps (Key Rate Duration)

    I am trying to understand why KRD levels are most sensitive closer to the maturity of a pay-fixed swap. Let’s say for example, I have a 10-year vanilla pay-fixed swap. The KRD is highest at the 10yr, around 4.54. One side of the transaction is fixed and the swap is essentially a bet on LIBOR...
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