What is the impact on the FI's futures position if the relative change in all interest rates
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What is the impact on the FI's futures position if the relative change in all interest rates is an increase of 1 percent? That is, AR/(1+R) = 0.01. Assume that the deliverable Treasury bond has a duration of nine years.
f. If the FI wants to macrohedge, how many Treasury bond futures contracts does it need?
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Related Book For 
Financial Markets And Institutions
ISBN: 9780078034664
5th Edition
Authors: Anthony Saunders, Marcia Cornett
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