如果future contract duration > desired holding period of the hedged asset. the investor must reverse at the end of holding period at the existing future price.
reverse在这里是什么意思?不太明白这句话的意思,请高手指教!谢谢!
since we want to match the duration of futures and the hedged asset and the future contract used has a longer duration than desired, we should get out ( close out, reverse the initial position or any other terms to describe the same thing) the future contract.
if future contract duration <desired holding period of the hedged asset, we have to roll it over.
good luck!
欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) | Powered by Discuz! 7.2 |