DURATION OF A INTEREST RATE FUTURE

If we want to increase the duration of our portfolio

1.whether should we buy or sell the bond future;

1. whether should we could buy or sell the interest rate future

with the negtive relatioinship between the two underlying, I suppose we could not buy or sell both.

logic is When you sell something, you get money. money has duration of 0 and beta 0

then if I sell interest rate future, I reveive cash of 0 duration, but the duration of intere rate I gived out is positive or negative?

Note that futures do not invove a cash transaction.

Dt = Dp +Df…so to increase duration you buy either bond futures or IRF (aka Treasury future)

is the underlying of the interest rate future and the treasury future are the same? both interest rate or something else?

A friend of mine in Booth just told me he never heard about the interest rate future~~

Unlike its name, Interest rate future’s underlying is T bond/future

so, rahuls, the underlyings of interest rate future and bond future are both bond price, right? is there any difference between the two?

Interest rate future is more a general derivativive definition which means a derivative having a underlying as any interest bearing instrument. e.g. of IRF are treasury futures

Eurodallor futures, which is an interest futures, is hardly covered in L3. FRA is the corresonding fowards.

In L3, the interest rate futures is usually treasury futures…that’s what CTD, cf, Pf, and multipliers come about. I would focus on the highpoints and those most likely to be tested.