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https://www2.bc.edu/alan-marcus/papers/J_Derivatives_2005.pdf
hedge ratio is relatively flat and continuous at all yields. Moreover, hedge ratios computed without regard to delivery options necessarily are convex in yields, whereas properly computed hedge ratios actually exhibit mild neg-ative convexity much ofthe time, a property that cannot be obtained without allowing tor delivery options. Finally,
https://jod.pm-research.com/content/13/2/70
Nov 30, 2005 · Delivery Options and Treasury–Bond Futures Hedge Ratios Robin Grieves , Alan J. Marcus The Journal of Derivatives Nov 2005, 13 (2) 70-76; DOI: 10.3905/jod.2005.605353Author: Robin Grieves, Alan J. Marcus
https://www.researchgate.net/publication/247906595_Delivery_Options_and_Treasury-Bond_Futures_Hedge_Ratios
Delivery Options and Treasury–Bond Futures Hedge Ratios Article (PDF Available) in The Journal of Derivatives 13(2):70-76 · January 2005 with 142 Reads How we measure 'reads'
https://www.sciencedirect.com/science/article/pii/S1058330009000299
The PVBP derived from their model, which accounts for the delivery option, is a continuous blend of the PVBP of the two relevant deliverables. As the level of the yield curve evolves, the value of the delivery option responds continuously, implying that the futures hedge ratio …Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1159562_code260653.pdf?abstractid=1159562&mirid=1
the value of the delivery option responds continuously, implying that the futures hedge ratio is also a continuous function of yields. In contrast, methodologies limited to analysis of the currently cheapest-to-deliver bond imply discrete changes in hedge ratios as yields cross the 6 percent threshold and the identity of the CTD bond changes.Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://www2.bc.edu/alan-marcus/papers/RFE_2010.pdf
(2005). Delivery options and Treasury bond futures hedge ratios. Journal of Derivatives, 13, 70–76.] show that, in some circumstances, only two bonds—those with the highest and the lowest duration—are relevant for the hedging problem, which makes computation of analytic hedge ratios tractable…
https://www.cmegroup.com/education/courses/introduction-to-treasuries/treasuries-hedging-and-risk-management.html
Assume you are long $100 million of a U.S. Treasury portfolio with an average BPV of $450 per million. This BPV is closest to the BPV of the CME Group U.S. Treasury 5-Year Note futures contract so we will use it as our hedging instrument.
https://www.investopedia.com/ask/answers/06/futureshedge.asp
Jan 18, 2020 · This reduces the company's risk because it will be able to close its futures position and buy 20,000 ounces of silver for $11/ounce in six months. If a company knows that it will be selling a certain item, it should take a short position in a futures contract to hedge its position.Author: Brian Beers
https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf
and 5-year Treasury note futures, however, are traded in units of $100,000 face value . 3-year and 2-year Treasury note futures are traded in units of $200,000 face value .
https://www.investopedia.com/terms/h/hedgeratio.asp
Jul 22, 2019 · Further assume the standard deviation of crude oil futures and spot jet fuel price is 6% and 3%, respectively. Therefore, the minimum variance hedge ratio is 0.475, or (0.95 * (3% / 6%)).Author: Will Kenton
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