Question
Suppose you want to hedge a $560 million bond portfolio with a duration of 9.8 years using 10-year Treasury note futures with a duration of
| Suppose you want to hedge a $560 million bond portfolio with a duration of 9.8 years using 10-year Treasury note futures with a duration of 6.8 years, a futures price of 106, and 112 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? |
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The Economics Of Money Banking And Finance
Authors: Peter Howells, Keith Bain
4th Edition
0273710397, 978-0273710394
