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- 2015-12-18
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janakisri Wrote:
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> DOLLAR Duration rebalancing is a technique .
> Duration rebalancing is a goal or target.
I was trying to explain that earlier but your explanation is very concise and precise. In some sense it's similar to delta hedging. You know that you want your delta to be equal to zero but you still have to calculate the number of underlying contracts to buy or sell and that depends on the position size. Similarly, you know what you want the portfolio duration to be but the number of contracts to buy or sell depends on the portfolio size. Dollar duration reflects both portfolio size and duration adjustment. |
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