Recent content by kfcnhl

Thanks for the confirmation! However, if we include the notional payment at the end. The fixed leg looks like a fixed coupon bond and the floating legs becomes a FRN. Obviously, in this case, the fixed leg has a higher duration. Which means the majority of the risk is on the fixed side. How...

On a plain vallia pay fixed rec float SOFR swap, the question is where the risk lies. Floating leg or fixed leg? My answer is the floating leg. Hoping someone can confirm. I have two thoughts on my answer assuming upward sloping SOFR discount curve: 1. In principle, when the SOFR curve...