标题: [CFA Level 3] fixed income with future hedging problem [打印本页]

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作者: 必胜2012    时间: 2013-4-15 17:59     标题: fixed income with future hedging problem

WHY:
           Dollar Duration of Futures = Dollar Duration of CTD / CF,

Can anyone explain it for me?



and is the Price of CTD here the invoice price or market price of real bond?

3x3x

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