Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

Is the modified duration of an overnight index swap zero or close to zero?

share|improve this question

In short, no.

An OIS has 2 legs, like any other swap. The float leg duration will be nearly zero, because apart from the ON period the rates are floating. The fixed leg, however, has the same duration as a 3m swap with the same fixed leg specification.

share|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.