Question
Suppose you want to hedge a $330 million bond portfolio with a duration of 5.5 years using 10-year Treasury note futures with a duration of
| Suppose you want to hedge a $330 million bond portfolio with a duration of 5.5 years using 10-year Treasury note futures with a duration of 7 years, a futures price of 107, and 9 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Round your answer to the nearest whole number.) |
| Contracts | Buy or Sell |
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Campaign Finance Reform
Authors: Melissa M. Smith, Glenda C. Williams, Larry Powell, Gary A. Copeland
1st Edition
0739145657, 978-0739145654
