0
$\begingroup$

I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?

$\endgroup$

1 Answer 1

1
$\begingroup$

"In order to setup a breakeven trade, one needs to make an assumption about the beta between real yields and nominal yields. Typically investors assume a beta of 1 however this could be changed based on historical relationships. In a breakeven trade with an assumed beta of 1, the risk weights are a function of the relative DV01 of the linker and nominal comparator bond" - JPM Inflation Linked Markets Guide 2017

My guess is most people would not "calculate" duration (or DV01) but rather just pull it up on Bloomberg or Eikon.

$\endgroup$
2

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.