The implied duration of a futures contract is the duration of the underlying bond measured as if one owned the bond today.

Question

Quizplus · Accepted Answer

The implied duration of a futures contract refers to the sensitivity of the futures price to a change in interest rates, not directly to the duration of the underlying bond as if one owned the bond today. It is a measure used to estimate the interest rate risk of the futures contract itself, not the underlying bond.

The Implied Duration of a Futures Contract Is the Duration