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For a spot starting interest rate swap, the duration is calculated as the duration of the fixed rate leg less the duration of the floating leg. Each of these calculations is akin to calculating the duration of a fixed (or floating) rate bond.

How do I calculate the duration of a forward starting interest rate swap, for instance a 10Y EUR swap (floating rate 6M Euribor) starting in 3 months? Any help or reference is much appreciated.

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  • $\begingroup$ I have traded interest rate swaps my entire career and never heard of the 'modified duration' of an interest rate swap. Nor am I sure what it is used for.. $\endgroup$
    – Attack68 ♦
    Commented Feb 23, 2020 at 19:29
  • $\begingroup$ Sorry - meant to type duration not modified duration. I’ve adjusted my original question above. Any help is much appreciated. $\endgroup$
    – Seabird86
    Commented Feb 23, 2020 at 19:36
  • $\begingroup$ have a look here quant.stackexchange.com/questions/49582/… $\endgroup$
    – Attack68 ♦
    Commented Feb 23, 2020 at 19:43

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