PortM P4.2: Managing a Duration Gap
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Last updated 11:12 AM on 4/24/26
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4 Terms
1
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Duration gaps
Discuss the gap, rates and surplus in the following situations
BPVa < BPVl
BPVa > BPVl
2
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Futures
BPV =
Nf =
BPVf =
3
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Swaps
NP =
BPVs =
4
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There is a duration gap of BPVa - BPVl
If this gap is < 0
What will need to happen to BPVa?
Futures position needed
Swap position needed
If this gap is > 0
What will need to happen to BPVa?
Futures position needed
Swap position needed
