Manages fixed-income portfolio duration through hedging strategies, benchmark tracking, and interest rate risk analysis.
This skill provides a structured framework for fixed-income portfolio managers and analysts to monitor and adjust interest rate exposure. It streamlines the calculation of key rate durations (KRDs), DV01, and convexity profiles while facilitating the design of duration hedges using Treasury futures, swaps, or options. By comparing current holdings against benchmarks and running complex scenario analyses—such as yield curve twists or historical stress tests—this tool ensures precise risk oversight and informed decision-making for complex bond portfolios.
주요 기능
01Multi-scenario stress testing for parallel shifts and yield curve twists
02Automated hedge ratio calculations for Treasury futures and interest rate swaps
03Benchmark gap analysis and tracking error monitoring
04Comprehensive risk reporting including P&L impact and compliance status
052 GitHub stars
06Portfolio DV01 and Key Rate Duration (KRD) decomposition
사용 사례
01Rebalancing a fixed-income portfolio to match a target benchmark like the Bloomberg US Aggregate
02Designing a Treasury futures hedge to mitigate interest rate risk after central bank policy shifts
03Analyzing portfolio P&L impact under non-parallel yield curve scenarios like bull steepeners or bear flatteners
