标题: Adjusting Portfolio Dollar Duration [打印本页] 作者: jcole21 时间: 2011-7-13 13:20 标题: Adjusting Portfolio Dollar Duration
This is presented two times throughout the curriculum. My question: When to use CTD and conversion factor and when not to use? I.E. Just dollar duration on forward?作者: Zestt 时间: 2011-7-13 13:20
The number of instruments that should be bought or sold is equal to the desired dollar duration change over dollar duration of an instrument. CTD and conversion factor are used to calculate dollar duration of a futures contract.作者: NakedPuts00 时间: 2011-7-13 13:20
