20. Hedging Interest Rate Risk (LO4, CFA2) Suppose you want to hedge a $500 million bond portfolio...
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20. Hedging Interest Rate Risk (LO4, CFA2) Suppose you want to hedge a $500 million bond portfolio with a duration of 5.1 years using 10-year Treasury note futures with a duration of 6.7 years, a futures price of 102, and 3 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?
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Related Book For 
Fundamentals Of Investments Valuation And Management
ISBN: 9781260013979
9th Edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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