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)