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Futures The bond portfolio is comprised of one type of corporate BBB bond. The term is 8 years semiannual, YTM is 5%, coupon is 8%.
Futures
The bond portfolio is comprised of one type of corporate BBB bond. The term is 8 years semiannual, YTM is 5%, coupon is 8%. The portfolio contains 1 million bonds.
- Calculate the par value of the portfolio.
- Calculate the market value of the portfolio.
- Calculate the modified/ effective duration, using the formula (not spreadsheet).
- If the T-bond futures contract is priced at 98 and has a duration of 4, and you wish to reduce the portfolio duration to zero, how many futures contracts do you need? Long or short?
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Production And Operations Analytics
Authors: Steven Nahmias, Tava Lennon Olsen
8th Edition
1478639261, 9781478639268
