Home » Uncategorized » Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell)

First in a series of butterfly Swaps. I will adjust the list below, as I add more butterfly swaps:

1. Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell)
2. Fifty-Fifty Butterfly Swap
3. Regression Weighted Butterfly Swap
4. Maturity Weighted Butterfly Swap

This Excel spreadsheet shows how to set up a cash & duration neutral butterfly swap. The nomenclature I use to describe the three securities involved in this swap are “Body” for the middle security, and “Wing #1” and “Wing #2” for the other two:

Some Graphic’s:

 

The formulas for calculating the par value of the two wings is:

Statistics are:


Download: Butterfly

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