Bullet Vs Barbell

You are anticipating a significant interest rate change - you have a choice between a bullet and a barbell (50% long/50% short) of same duration, which one would you pick?

if they have the same duration and it is a parallel shift I think you would be indifferent.

I’d probably go with a LT bullet with a high Duration.

let’s just assume both had the same duration :slight_smile:

Do we know the direciton of change?? If no, I go with a barbell (in ALM frameworkd), I am assuming duration match to liability.

if it’s a parallel shift and same duration shouldn’t it not matter?

apparently, the convexity of a barbell is more than the convexity of a bullet. Hence a barbell is a better choice. - Stalla

damnit I was gonna say b/c it significant duration isnt enough but convexity must be considered, but I didnt know which one had a greater convexity :frowning:


WHat is the duration of the liability?