Hedging the Treasury Lock ()
ABSTRACT
The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. The paper provides a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the Then-Current Treasury lock as a forward contract on underlying benchmark rolled over the life of the contract.
Share and Cite:
Pucci, M. (2019) Hedging the Treasury Lock.
Journal of Mathematical Finance,
9, 301-324. doi:
10.4236/jmf.2019.93018.