Question
A portfolio manager has a bond portfolio of $20 million. The duration of the portfolio is 6.28 years. The front month T-bond futures price is
A portfolio manager has a bond portfolio of $20 million. The duration of the portfolio is 6.28 years.
The front month T-bond futures price is currently at 99-18. The cheapest-to-deliver bond has a duration of 6.85 years. How should the portfolio manager immunize the portfolio against changes in interest rates in the near term? Please indicate the number of contracts long or short.
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
