Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Jackie manages a $621 million bond portfolio which has a duration of 4.1 years. She wants to hedge the portfolio with Treasury note futures that
Jackie manages a $621 million bond portfolio which has a duration of 4.1 years. She wants to hedge the portfolio with Treasury note futures that have a duration of 4.6 years and a futures price of 112. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts does she need to sell to complete this hedge?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started