Interest Swap Modified Duration

Hi,

I discovered the new interest rate swap functionality to instantiate a security and call various functions. I can't seem to easily calculate the interest rate duration of a swap. Is there a way to calculate interest rate duration? I see the dv01 output for the price function but this does not seem to reconcile to a dv01 I would expect. e.g. a 3yr swap with 100mm notional has a dv01 of around 15k rather than 30k. Any help would be greatly appreciated.

https://au.mathworks.com/help/fininst/fininstrument.swap.html

Answer 1

[Utkarsh Belwal]

Hi Cameron,

This is a bug in our current release, our developers are aware of it and it will be fixed in of our future release.

A workaround to resolve this issue is to replace the current Discount Pricer with the file that is attached in this answer. Please follow the below steps:

• Navigate to the following path: C:\ProgramFiles\MATLAB\R2020b\toolbox\fininst\fininst\+finpricer
• In the location, please replace the 'Discount.m' file with the file that is attached in this answer.
• Relaunch the MATLAB.

[Cameron Shaw]

Thanks Utkarsh

[Thomas Schlott]

Hi Utkarsh,

the new version has a bug as well: for instruments with cpn = 0 the DV01 is always 2.5 - no matter what the maturity is.