Parametric  Options in LDI Glidepaths
December 14, 2018

Using Swaptions in a Pension Glide-Path Setting

Pension-plan sponsors often ask about the possibility of using options to increase their liability-hedge ratio contingent on a rise in interest rates. The idea is usually brought up in the context of a liability-driven investment (LDI) glide path, where the decision has been made to increase the hedge ratio through a series of steps as interest rates rise or funded status otherwise improves.


This paper reviews the primary implementation choices investors have and outlines some of the key considerations when using options in a pension glide-path setting.


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Chris Haskamp, CFA

Senior Portfolio Manager
An abstract image

Chris Haskamp, CFA

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