I know it is a very dumb question… Why long futures postion --> DDf >0 ( schwerser book3 page 190) Thanks
Many people confuse interest rate futures with FRA. Don’t fall into that trap. Most common interest rate future constract in the US in the 10 Yr Note. Its duration is similar to that of 10 Yr Note.
like the underlying bonds, the futures have interest rate risk. if you are long the bond (even if it’s in the future), you are exposed to interest rate risk, so DDf>0, conversely, if you are short futures (sold the bond in the future) you will have negative duration (is that even a word?) DDf<0 or is this not what you were even asking?
hi mar and cfa thanks for your clarification…those were exactly the answers to my questions. But still I find the FI Portfolio Mangement -Part II is too difficult to digest
fitrangnn Wrote: ------------------------------------------------------- > hi mar and cfa > thanks for your clarification…those were exactly > the answers to my questions. > > But still I find the FI Portfolio Mangement -Part > II is too difficult to digest Might I suggest reading this section in the “orginal” – that is, going back to the CFAI text. Sounds like you are well enough along to be able to afford the time to do so. I’ve read most of the CFAI text by now and that section was reasonably clear (I do have a fixed income background, but I still thought it was well-explained). If Schweser isn’t clicking, then definitely browse the CFAI text.
Ply I am reading the CFAI text now, much appreciated, things are much clearer now YAY!!!