Question
A bank has a $25 million mortgage bond risk position which it hedges in the Treasury bond futures markets at the Chicago Board of Trade.
A bank has a $25 million mortgage bond risk position which it hedges in the Treasury bond futures markets at the Chicago Board of Trade. Approximately how many futures contracts would be needed for this hedge if you assumed mortgage bonds and Treasury bonds were perfectly correlated?
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Principles Of Commodity Economics And Finance
Authors: Daniel P. Ahn
1st Edition
0262038374, 9780262038379
