DURATION-BASED HEDGING WITH TREASURY BOND FUTURES - A survey of derivatives textbooks and other documents shows at least four different treatments of duration-based hedging with Treasury bond futures. Most hedging methods also employ an incorrect definition of futures duration, and, in some cases, apply the accrued interest pricing method incorrectly. This article develops an alternative model ...
Year of publication: |
1999
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Authors: | Rendleman Jr, Richard J. |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 9.1999, 1, p. 84-91
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