The modified duration of the net worth of a financial institution is 10. If you decide to use Treasury futures to durati
Posted: Thu May 05, 2022 8:34 am
The modified duration of the net worth of a financial
institution is 10. If you decide to use Treasury futures to
duration hedge the network, you should take ___ position. If you
decide to use interest rate swaps to hedge, you should use ___
swap.
A.
long; pay floating receive fixed
B.
short; pay fixed receive floating
C.
long; pay fixed receive floating
D.
short; pay floating received fixed
institution is 10. If you decide to use Treasury futures to
duration hedge the network, you should take ___ position. If you
decide to use interest rate swaps to hedge, you should use ___
swap.
A.
long; pay floating receive fixed
B.
short; pay fixed receive floating
C.
long; pay fixed receive floating
D.
short; pay floating received fixed