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Flashcards in CH 6 notations Deck (4)
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1
Q

DF

A

Duration of the asset underlying the futures contract at the maturity of the futures contract

2
Q

P

A

Forward value of the portfolio being hedge at the maturity of the hedge

3
Q

DP

A

Duration of the portfolio at the maturity of the hedge

4
Q

FC

A

Contract price for the interest rate futures contract