Question
The duration of a bond is 6, and the duration of the most appropriate bond futures contract is 4. The size of the portfolio is
The duration of a bond is 6, and the duration of the most appropriate bond futures contract is 4. The size of the portfolio is 24 times the total futures price. The yield beta of the futures contract is 1. Calculate the most appropriate strategy to hedge the portfolio against changes in interest rates.
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Derivatives Markets
Authors: Robert L. McDonald
2nd Edition
032128030X, 978-0321280305
