Dear all,

The formulas for hedging liabilities with futures and swaps are almost similar, except Swap BPV to be divided by 100. Can anyone explain me the reasoning (logic) behind this difference?

For futures: Asset portfolio BPV + (*N _{f}* × Futures BPV) = Liability portfolio BPV

For swaps: Asset BPV+[NP×SwapBPV/ ** 100**]=Liability BPV

Thanks