The duration of a 20 year, 8 percent coupon Treasury bond selling at par is 10 292 years The bond's interest is paid semiannually and the bond qualifies for delivery against the Treasury bond futures contract a What is the impact on the Treasury bond price if market interest rates increase 50 basis points b If you sold a Treasury bond futures contract at 95 and interest rates rose 50 basis points, what would be the change in the value of your futures position c If you purchased the bond at par and sold the futures contract, what would be the net value of your hedge after the increase in interest rates The duration of a 20 year, 8 percent coupon Treasury bond selling at par is 10 292 years The bond's interest is paid semiannually and the bond qualifies for delivery against the Treasury bond futures contract a What is the impact on the Treasury bond price if market interest rates increase 50 basis points b If you sold a Treasury bond futures contract at 95 and interest rates rose 50 basis points, what would be the change in the value of your futures position c If you purchased the bond at par and sold the futures contract, what would be the net value of your hedge after the increase in interest rates

Question

The duration of a 20 year, 8 percent coupon Treasury bond selling at par is 10 292 years  The bond's interest is paid semiannually and the bond qualifies for delivery against the Treasury bond futures contract  a  What is the impact on the Treasury bond price if market interest rates increase 50 basis points  b  If you sold a Treasury bond futures contract at 95 and interest rates rose 50 basis points, what would be the change in the value of your futures position  c  If you purchased the bond at par and sold the futures contract, what would be the net value of your hedge after the increase in interest rates  The duration of a 20 year, 8 percent coupon Treasury bond selling at par is 10 292 years  The bond's interest is paid semiannually and the bond qualifies for delivery against the Treasury bond futures contract  a  What is the impact on the Treasury bond price if market interest rates increase 50 basis points  b  If you sold a Treasury bond futures contract at 95 and interest rates rose 50 basis points, what would be the change in the value of your futures position  c  If you purchased the bond at par and sold the futures contract, what would be the net value of your hedge after the increase in interest rates

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The duration of a 20-year, 8 percent coupon Treasury bond selling at par is 10.292 years. The bond's interest is paid semiannually and the bond

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