Question
-On that day, the March T-bond futures contract closed at 99-05. The contract has notional amount of $100,000. Its duration duration can be measured by
-On that day, the March T-bond futures contract closed at 99-05. The contract has notional amount of $100,000. Its duration duration can be measured by that of the Cheapest-To-Deliver (CTD) bond, which is assumed to be 9.2 years. Compute the number of contracts to buy or sell to hedge the Orange County portfolio.
- This contract has typical trading volume of 300,000-400,000 contracts daily. Verify with recent volume data at theChicago Board of Trade (CBOT). Would it have been possible to put a hedge in place in one day?
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International Financial Reporting Standards An Introduction
Authors: Belverd E. Needles, Marian Powers
3rd Edition
1133187943, 978-1133187943
