Question
Kyles portfolio consists of Zero Coupon Treasury Bonds (Panel A) and long positions in Treasury Bond Futures (Panel B). Kyles Portfolio Panel A: Bond Holdings
Kyles portfolio consists of Zero Coupon Treasury Bonds (Panel A) and long positions in Treasury Bond Futures (Panel B).
Kyles Portfolio
Panel A: Bond Holdings
| Market Value (millions) | Years to Maturity | Coupon Rate | Yield to Maturity |
| $9.2 | 7 | 0% | 5.12% |
| 11.8% | 11 | 0% | 5.23% |
Panel B: Futures Positions
| Notional Amount (millions) | Deliverable Bond | Contracts | DV01 Per Contract |
| $2.0 | 2-Year Treasury Bond | 2 | 195.10 |
| $1.0 | 30-Year Treasury Bond | 1 | 1,723.50 |
What is the one-day percentage return to Brendas portfolio if Treasury Bond yields fall by 1 basis point?
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Quantitative Financial Analytics The Path To Investment Profits
Authors: Edward E Williams, John A Dobelman
1st Edition
9813224258, 978-9813224254
