Question
A 3-month hedge is required for a $10 million portfolio. Duration of the portfolio in 3 months will be 3.8 years. The 3-month T-bond futures
A 3-month hedge is required for a $10 million portfolio. Duration of the portfolio in 3 months will be 3.8 years. The 3-month T-bond futures price is 93-02 so that contract price is $93,062.50. The duration of the cheapest-to-deliver bond in 3 months is 9.2 years.
The number of contracts to short for a 3-month hedge is
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Step: 1
To calculate the number of contracts to short for a 3month hedge we can use the concept of duration ...
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
