On December 31, 1994, the portfolio manager decides not to liquidate the portfolio, but simply to hedge its interest rate exposure. Develop a strategy for hedging the portfolio, using (i) interest rate futures, (ii) interest rate swaps, and (iii) interest rate caps or floors. 

Describe the instrument and whether you should take a long or short position.

Answer rating: 100% (QA)

To hedge the interest rate exposure of the portfolio the portfolio manager can use the following strategies involving interest rate futures interest rate swaps and interest rate caps or floors i Inter... View the full answer