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Derivatives

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  • December 14, 2022
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Implied Duration

The duration of the deliverable or underlying bond of a futures contract that is used as an estimate of the impact of the factures contract on the duration of the portfolio to which it is added. In other words, when a bond futures contract is added to a portfolio either as a long or short position, the duration of the underlying bond may be used as a proxy for the effect of the futures contract on the duration of the portfolio itself. The duration of a portfolio can be modified by buying and selling bonds. However, in cases where marinating the existing composition of a portfolio particularly matters (e.g., a portfolio’s holdings reflect well-researched views about future performance), duration can adjusted by buying and selling bond futures.


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