Question
( Note 100-13 = 100 13/ 32 ) Assume a 6-month hedging horizon and a portfolio calue of $30 million. Further assume that the 6-month
( Note 100-13 = 100 13/ 32 )
Assume a 6-month hedging horizon and a portfolio calue of $30 million. Further assume that the 6-month Treasury bond (T-bond) contract is quoted at 100-13, with a contract size of $100,000. The duration of the portfolio is 8, and the duration of the futures contract is 12. Provide the # of contracts to completely hedge and the direction (long, short).
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes
11th edition
9781259278617, 77861647, 1259278611, 978-0077861643
