When both macaulay duration and implied duartion are shown in the question for calculating the number of futures to use for adjustment of the portfolio’s duration, we should use macualay duration or implied duration of the futures?
I’ve never seen the term “implied duration” in the curriculum.
Where did you encounter it?
If you’re trying to adjust the:
- Macaulay duration of a portfolio, use the Macaulay duration of the futures contract
- Modified duration of a portfolio, use the modified duration of the futures contract
- Effective duration of a portfolio, use the effective duration of the futures contract
I’ve never seen a case in which you’re trying to adjust the Macaulay duration specifically.
The formula in the cfa text are for modified duration, the is no mention of Macaulay duration.
This is related to 2014 PM Mock C - AMY ALLISION Q#3