boonpeng90
New Member
An FI has DA= 2.45 years and kDL= 0.97 years. The FI has total assets equal to $375 million. The FI wishes to effectively reduce the duration gap to one year by hedging with T-Bond futures that have a market value of $115,000 and a DFut= 8 years. How many contracts are needed and should the FI buy or sell them? (D = Duration)
How do I know whether i should buy or sell them?
How do I know whether i should buy or sell them?