Th e futures contract it would use is priced at 130,000 and has a duration of 9.35.

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Th e futures contract it would use is priced at €130,000 and has a duration of 9.35. Assume that the conversion factor for the futures contract is 1.06.

A . Would the fund need to buy futures contracts or sell?

B . Approximately, how many futures contracts would be needed to change the duration of the bond portfolio?

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Fixed Income Analysis

ISBN: 9788126563128

3rd Edition

Authors: Barbara S. Petitt, Jerald E. Pinto, Wendy L. Pirie, Bob Kopprasch

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Question Posted: Oct 23, 2024 08:06 AM

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Th e futures contract it would use is priced at 130,000 and has a duration of 9.35.

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Fixed Income Analysis

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