标题: CFAI reading 30, Practice problem -3 , page 158 [打印本页] 作者: former 时间: 2013-4-17 19:12 标题: CFAI reading 30, Practice problem -3 , page 158
“If one has no clear position about the interest rate outlook but would like to avoid risk, selling interest rate future would be a good strategy”
I had the ideas that one would sell interest rate future - if one wants to reduced duration. Interest outlook is rate going up.
Would appreciate - if anybody had any thought on it作者: RMontgomery 时间: 2013-4-17 19:12
This pertains to scenario for a floating rate payer who wants to hedge the risk but has no view on which direction interest rate will go in future. If its going up the position will result in losses.
Short on futures will result in fixed payments where ever interest rate goes. If goes up loss on the underlying position is compensated by profit on futures and if goes down profit on the underlying position is compensated by loss on futures..
