5.5
Bond Immunization
PYTHON PLUGIN
Fixed Income
Hedging
Description
Strategy 5.5: Match portfolio duration to liability duration
Strategy Logic
Strategy 5.5: Bond Immunization.
Match portfolio duration to a target liability duration.
Duration = sum(t * PV_CF / Price).
Go long bonds whose duration closely matches the liability duration.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| target_duration | 7.0 | float |
| duration_tolerance | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 20.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 3.0% |
| Max Drawdown Pct | 5.0% |