Dollar duration of the underlying in order to hedge

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Reference no: EM13946848

1. Explain why it is necessary to know the dollar duration of the underlying in order to hedge.

2. One of the problems in liability-driven investing when using cash market Treasuries for hedging interest-rate risk is that the duration will produce a dollar duration that does not match that of the liability dollar duration. Explain how the ultra-Treasury bond futures contract may help resolve this problem.

Reference no: EM13946848

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