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标题: [学习疑问] 三级高手求解 basis risk [打印本页]

作者: jessieeee    时间: 2011-3-18 10:03     标题: 三级高手求解 basis risk

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!


作者: zach2008    时间: 2011-3-22 15:42

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!






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