Question
1.The portfolio uses 75% SPY and 25% bonds.The portfolio market value is $100M.The bond is 8 years semi, yielding 4%, coupon 9%, BBB rating, reinvestment
1.The portfolio uses 75% SPY and 25% bonds.The portfolio market value is $100M.The bond is 8 years semi, yielding 4%, coupon 9%, BBB rating, reinvestment rate of 3%.The available futures are the ES (trading at 3,800) and ZB (priced at 97).Change the AA to 50% equity with a beta of 1.2 and fixed income with a duration of 3.The simulation is stocks rise 0.80% and the interest rates fall 70 bps.Calculate the number of contracts and do a proof.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
To calculate the number of contracts for ES Emini SP 500 futures and ZB 30year Treasury bond futures ...
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Step: 2
Step: 3
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
