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Using an Interest Rate Swap, fully hedge a $100M bond portfolio. The portfolio has a duration of 7 years. The swap has a duration of
- Using an Interest Rate Swap, fully hedge a $100M bond portfolio. The portfolio has a duration of 7 years. The swap has a duration of 3 years. Solve for the required Notional Principal of the swap.
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The Routledge Handbook Of State Owned Enterprises
Authors: Luc Bernier, Massimo Florio, Philippe Bance
1st Edition
1138487694, 978-1138487697
