When the target duration is set at zero,the correct number of futures contracts to use is the same as is obtained from the price sensitivity hedge ratio.

Question

Quizplus · Accepted Answer

When the target duration is set at zero, it means that the hedging strategy is not focused on interest rate risk. Therefore, the correct number of futures contracts to use would be the same as the price sensitivity hedge ratio, which is calculated based on the exposure to changes in the price of the underlying asset.

When the Target Duration Is Set at Zero,the Correct Number