Question
A bond fund manager holds $1 million of Australian government bonds that mature in 5 years and wishes to hedge against interest rate movements .
A bond fund manager holds $1 million of Australian government bonds that mature in 5 years and wishes to hedge against interest rate movements . The 10 Year Treasury bond futures contract is currently trading at a price of 94.650. What strategy should the manager implement and at what price should the transaction be made?
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
9th Edition
0134519264, 9780134519265
