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It is January 30. You are managing a portfolio in which you are short $10 million worth of bonds. The duration of the bond in
It is January 30. You are managing a portfolio in which you are short $10 million worth of bonds. The duration of the bond in six months will be 6.7 years. The September Treasury bond futures price is currently $93.0625 and each contract is for the delivery of $100,000 face value of bonds. The cheapest-to-deliver bond will have a duration of 9.5 years in September. Calculate the number of futures contracts rounded upto nearest integer to fully hedge this position. (Use - for short position in futures contracts.) Make sure you use at least 6 decimals in your calculations
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