The Implied Duration of a Futures Contract Is the Duration

question 50

True/False

The implied duration of a futures contract is the duration of the underlying bond measured as if one owned the bond today.

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Definitions:

Stock Market

A marketplace where securities such as stocks and bonds are bought and sold.

Elasticity

A measure of how much the quantity demanded or supplied of a good responds to a change in one of its determinants, such as price.

Expected Utility

A theory in economics that quantifies how individuals choose between probabilistic scenarios with different outcomes, based on their predicted utility.

Utility Function

A mathematical representation of how different bundles of goods or services relate to an individual's level of satisfaction.