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You own a 6-month futures contract on U.S. Treasury notes. The underlying notes have a duration of 3.87 years. What is the duration of the
You own a 6-month futures contract on U.S. Treasury notes. The underlying notes have a duration of 3.87 years. What is the duration of the futures contract?
| 3.67 years | |
| 4.37 years | |
| 3.87 years | |
| 4.12 years | |
| 3.37 years |
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Handbook Of Financial Econometrics
Authors: Yacine Ait-Sahalia, Lars Peter Hansen
1st Edition
044450897X, 978-0444508973
