Question
Please have an a real finance expert answer this question. I need a very accurate answer. This is my second time posting the same question.
Please have an a real finance expert answer this question. I need a very accurate answer. This is my second time posting the same question. Thank you in advance.
The current date is February 17th and you are managing a $250 Million bond portfolio. If you out in time six months the bond portfolios duration will be 9.8 years. The futures contract for bond futures is currently priced at 106-29. The cheapest to deliver bond will be one with a duration of 8.6 years in August. What would be a good strategy to hedge the bond portfolio?
This is the question straight from the book
Question 3: The current date is February 17th and you are managing a $250 Million bond portfolio. If you out in time six months the bond portfolio's duration will be 9.8 years. The futures contract for bond futures is currently priced at 106-29. The cheapest to deliver bond will be one with a duration of 8.6 years in August. What would be a good strategy to hedge the bond portfolio? Question 3: The current date is February 17th and you are managing a $250 Million bond portfolio. If you out in time six months the bond portfolio's duration will be 9.8 years. The futures contract for bond futures is currently priced at 106-29. The cheapest to deliver bond will be one with a duration of 8.6 years in August. What would be a good strategy to hedge the bond portfolioStep by Step Solution
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