The only controlled copy of this data sheet is the electronic read-only version located on the Eaton network drive. All other copies of this document are by definition uncontrolled. This bulletin is intended to clearly present comprehensive product data and provide technical information that will help the end user with design applications. For example, an IRS under which a PD is receiving floating rate interest and paying fixed will be treated as a long position in a floating rate instrument of maturity equivalent to the period until the next interest fixing and a short position in a fixed-rate instrument of maturity equivalent to the residual life of the swap.

Apr 28, 2008 · I have a couple of question in the early bird episode number 7 . 1. I did not understand the difference between DV01 and duration -- both seem to indicate the change in price of a bond to to change in yield . This new swap is the same as the old swap except for the fixed rate and that it is effective on the valuation date and has the current leg notionals of the old swap as its initial leg notionals. Par spread. The par spread is the rate spread required to make a new swap’s fair value zero on the valuation date.