My team will soon be implementing an auto hedger for our bond trading desk which will be integrated tightly with our risk application and I am interested in researching how this may work.
Any advice or information or general thoughts would be appreciated, especially on algorithms used to suggest hedges with bond futures.
I am guessing at the simplest level comparing the DV01 and instrument maturity to find the closest matching bond future would work but I am keen to know what other factors could be taken into account.
Many thanks.