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
[…] Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) […]
[…] Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) […]
[…] Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) […]