Using an Interest Rate Swap, fully hedge a $100M bond portfolio. The portfolio has a duration of 7 years. The swap has
Posted: Fri Jul 01, 2022 7:42 am
Using an Interest Rate Swap, fully hedge a $100M bondportfolio. The portfolio has a duration of 7 years. Theswap has a duration of 3 years. Solve for the requiredNotional Principal of the swap.