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
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
WHat is the duration of the liability?