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At the end of 2021, one client had a position applied in 100 Di futuro contracts due In January 2023 (consider 252 working days to
At the end of 2021, one client had a position applied in 100 Di futuro contracts due In January 2023 (consider 252 working days to maturity), traded at 11,81% PA. This cllent would like to lengthen the position for the contract with due January 2027 (consider 1260 business days to due), negotiated at 1058% aa. What number of Jan-27 contracts should the client apply, given his objective to keep the level of market risk unchanged? 1 At the end of 2021, one client had a position applied in 100 Di futuro contracts due In January 2023 (consider 252 working days to maturity), traded at 11,81% PA. This cllent would like to lengthen the position for the contract with due January 2027 (consider 1260 business days to due), negotiated at 1058% aa. What number of Jan-27 contracts should the client apply, given his objective to keep the level of market risk unchanged? 1
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