Suppose your assets have a value of $100,000 and a duration of 5 while your liabilities have

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Suppose your assets have a value of $100,000 and a duration of 5 while your liabilities have a value of $50,000 and duration of 2. You want to combine these assets and liabilities with a position in the above 2-year T-note in such a way that the duration of the combined portfolio is zero. This way, interest rate risks are hedged out. How much of the 2-year T-note (in terms of market value) do you need to buy/short-sell?

Posted Date: May 18, 2024 06:03 AM

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Suppose your assets have a value of $100,000 and a duration of 5 while your liabilities have

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