www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/DurationOfLIBORInterestRateSwapsExample.m

    %% Compute the Duration of LIBOR-Based Interest-Rate Swaps
% This example shows how to compute the duration of LIBOR-based
% interest-rate swaps using the following data.
%%

% Copyright 2015 The MathWorks, Inc.

SwapFixRate = 0.0383;
Tenor = 7;
Settle = datenum('11-Oct-2002');

[PayFixDuration GetFixDuration] = liborduration(SwapFixRate,... 
Tenor, Settle)