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You are a risk analyst in a public pension fund. You have been asked to calculate the appropriate amount of futures to hedge the bond
You are a risk analyst in a public pension fund. You have been asked to calculate the appropriate amount of futures to hedge the bond below. What is your calculation?
You are a risk analyst in a public pension fund. You have been asked to calculate the appropriate amount of futures to hedge the bond below. What is your calculation? Bond Face $ 30,000,000 Term Coupon 2.50% annual coupon YTM 3% 10 years Hedge Futures contract 10 year T-Note Denomination $ 100,000 Deliverable Notes: Note 1 Term Coupon YTM 10 years 2.20% payable annually 2.8% p.a. Note 2 Term Coupon YTM 10 years 2.10% payable semi annually 2.8% p.a. Note 3 Term 10 years 2.00% payable semi annually Coupon YTM 2.7% p.aStep by Step Solution
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