Question
A bond dealer needs to hedge a $5,000,000 inventory. The modified duration of the portfolio is 12.5 years and the modified duration of the Treasury
A bond dealer needs to hedge a $5,000,000 inventory. The modified duration of the portfolio is 12.5 years and the modified duration of the Treasury bond futures contract (Face value = $100,000) is 10.3 years. The futures price is 107. Compute the number of contracts required to hedge this position.
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A. 60
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B. 57
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C. 50
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D. 39
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Financial Management Theory And Practice
Authors: Eugene F Brigham, Michael C Ehrhardt
11th Edition
0324259689, 9780324259681
