NO.PZ2020021204000030
问题如下：
What protection is obtained when a Treasury bond futures contract is used to hedge a bond portfolio using duration analysis? What assumptions are necessary?
选项：
解释：
The hedge protects against small parallel shifts in the zero curve. The following assumptions must be made:
the cheapest-to-deliver bond is known and movements in the rates to which the portfolio is exposed are very similar to movements in the corresponding Treasury rates.
The following assumptions must be made:
the cheapest-to-deliver bond is known and movements in the rates to which the portfolio is exposed are very similar to movements in the corresponding Treasury rates.
