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A fund manager has a bond portfolio worth $ 2 5 million. The ( Macaulay ) duration of the portfolio in September will be 5
A fund manager has a bond portfolio worth $ million. The Macaulay duration of the portfolio in September will be years. The December year Treasury bond futures price is currently implying a yield of pa with duration years.
How should the portfolio manager immunise the portfolio against changes in interest rates ie target zero duration over the next three months? Remember that the assumed coupon rate for the Treasury bond futures is pasemiannual with a face value of $ The calculations provided previously was wrong
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