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Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has
- Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is:
- 3.5.
- 6.2.
- 10.8
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How To Achieve Financial Stability And Sustainability
Authors: Dr Javnyuy Joybert Joybert
1st Edition
131236789X, 978-1312367890
