Using the futures contract

CFA Level III Derivatives
#1

If liability BPV is more than asset BPV and the interest rates is expected to go up, should we go long futures or short futures or no hedge?

#2

No hedge or short.

When you expect interest rates to increase, you want to shorten your duration.

1 Like
#3

Ok, what would be the position be taken if asset BPV is more than liability BPV and interest rates go down?

#4

No hedge or long.

When you expect interest rates to decrease, you want to lengthen your duration.

1 Like
#5

Ok,I got it, thank you

#6

My pleasure.

1 Like