# Macaulay duration of an IRS receiver [closed]

how can I compute the duration of an IRS receiver? and how can I use it to compute the Delta of IRS?

An Interest Rate Swap can be decomposed into a portfolio made up by just one asset and one liability. In that way you are able to compiute the generalized duration as a weighted average, where the weights are the values of the two legs of the swap contract: $$D = A*D^A - L*D^L$$ , where L stands for liability and A stands for asset. Note that the minus sign is due to the fact that a liability obviusly has a negative impact on our cash flows. I guess for Delta you mean the relative variation based on Fong-Vasicek theorem, which state that the percent variation of the final value of the contract is given by the following: $$\Delta V/V \geq K*(C^A-C^L)$$ , where K stands for the maximum variation of the slope due to a shift of the two term structure of bond prices, while C rapresents the generalized convexity.