Question
A portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio is 13.8 years. The portfolio manager believes that the interest
A portfolio manager has a bond portfolio worth $100 million. The duration of the portfolio is 13.8 years. The portfolio manager believes that the interest rates are going to go up. The Treasury bond futures price is currently 92 and 5/16 and the underlying bond has a duration of 16.4 years at maturity. The underlying bonds have an FV of 100,000. What does she need to do to hedge her portfolio?
Buy 1000 futures contracts
Sell 1000 futures contracts
Buy 913 futures contracts
Sell 913 futures contracts
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Complete Business Statistics
Authors: Amir Aczel, Jayavel Sounderpandian
7th Edition
9780071077903, 73373605, 71077901, 9780073373607, 77239695, 978-0077239695
