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What is the var over the next month

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A portfolio manager enters a 10-year pay-fixed swap with notional of $100 million. The duration of the fixed leg is 7.44 years, and the floating leg is about to be reset. Assume a flat term structure and an annual volatility of yield changes of 100 basis points. What is the 95% VaR over the next month?

Reference no: EM133062540

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