Question
Suppose you want to hedge a $390 million bond portfolio with a duration of 8.7 years using 10-year Treasury note futures with a duration of
Suppose you want to hedge a $390 million bond portfolio with a duration of 8.7 years using 10-year Treasury note futures with a duration of 6.6 years, a futures price of 108, and 98 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?
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Corporate Financial Management
Authors: Julian Ralph Franks, Harry H. Scholefield
2nd Edition
0566020548, 978-0566020544
