sabre

Treasury futures will have a similar duration to their underlying Treasury instrument and can be implemented long or short, as necessary, so that is an inexpensive way to change the duration rapidly. It's a big topic in Level III. You can also do it with swaps.

If you are trying to hedge credit duration, that is trickier. Swaps might work there if you can get someone to do a swap on your particular credit instrument. I imagine that there's a way to do it with CDSs, but I haven't thought it through fully.



Edited 1 time(s). Last edit at Sunday, March 13, 2011 at 05:42PM by bchadwick.