1. How many futures contracts are required to hedge a $250 million bond portfolio with a portfolio...

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1. How many futures contracts are required to hedge a $250 million bond portfolio with a portfolio duration of 5 years using 10-year U.S. Treasury note futures with a duration of 7.5 years and a futures price of 115?

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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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