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- UID
- 223206
- 帖子
- 198
- 主题
- 153
- 注册时间
- 2011-7-11
- 最后登录
- 2013-9-14
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| So question before you take the duration of the bond protion of the portfolio down to dur=.25 of the cash position, short 743 futures to do so. Get that. Now why in the second question when you then re-lever the postion with equity futures is the duration=0 NOT =.25 same as in the previous question??? |
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发表于 2013-4-22 07:45
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