When DGAP = 0, a change in interest rates will have the same dollar value effect on the prices of the asset and liability. Our position is insulated from interest rate movements.

Question

Quizplus · Accepted Answer

When DGAP (Duration Gap) is zero, the duration of assets equals the duration of liabilities, meaning the sensitivity to interest rate changes is balanced, insulating the position from interest rate movements.

When DGAP = 0, a Change in Interest Rates Will