The contract price of the interest rate futures contract.
duration
The duration of the asset underlying the futures contract at the maturity of the futures contract.
forwardValue
The forward value of the portfolio being hedged at the maturity of the hedge.
durationPort
The duration of the portfolio at the maturity of the hedge.
Remarks
The hedge ratio returns the
number if relevant interest rate future contracts which need to be brought (or sold) in
order to hedge against price changes resulting from small parallel shifts of the
interest rate curve.