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?
No hedge or short.
When you expect interest rates to increase, you want to shorten your duration.
Ok, what would be the position be taken if asset BPV is more than liability BPV and interest rates go down?
No hedge or long.
When you expect interest rates to decrease, you want to lengthen your duration.
Ok,I got it, thank you