Hedging the Treasury Lock

The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. We provide a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the Then-Current Treasury lock as a forward contract on underlying benchmark rolled over the life of the contract

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Year of publication:	2019
Authors:	Pucci, Mario
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Hedging \| Staatspapier \| Government securities \| Öffentliche Anleihe \| Public bond \| Großbritannien \| United Kingdom

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Matematical Finance, 9, 301-324 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 19, 2019 erstellt
Other identifiers:	10.2139/ssrn.3386521 [DOI]
Classification:	C0 - Mathematical and Quantitative Methods. General ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012870805