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19) Determine the optimal hedge ratio for Treasury bonds worth $3,000,000 with a modified duration of 12.45, yielding 11.9 percent if the futures has a

19) Determine the optimal hedge ratio for Treasury bonds worth $3,000,000 with a modified duration of 12.45, yielding 11.9 percent if the futures has a price of $90,000, and modified duration of 8.5 years ?

a.
SELL 49 CONTRACTS

b.
BUY 48 CONTRACTS

c.
BUY 49 CONTRACTS

d.
SELL 46 CONTRACTS

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	a.	SELL 49 CONTRACTS
	b.	BUY 48 CONTRACTS
	c.	BUY 49 CONTRACTS
	d.	SELL 46 CONTRACTS

Question

19) Determine the optimal hedge ratio for Treasury bonds worth $3,000,000 with a modified duration of 12.45, yielding 11.9 percent if the futures has a

19) Determine the optimal hedge ratio for Treasury bonds worth $3,000,000 with a modified duration of 12.45, yielding 11.9 percent if the futures has a price of $90,000, and modified duration of 8.5 years ? a. SELL 49 CONTRACTS b. BUY 48 CONTRACTS c. BUY 49 CONTRACTS d. SELL 46 CONTRACTS

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19) Determine the optimal hedge ratio for Treasury bonds worth $3,000,000 with a modified duration of 12.45, yielding 11.9 percent if the futures has a price of $90,000, and modified duration of 8.5 years ?

a.
SELL 49 CONTRACTS

b.
BUY 48 CONTRACTS

c.
BUY 49 CONTRACTS

d.
SELL 46 CONTRACTS