20. Hedging with Treasury bond futures and Treasury note futures is complicated by the delivery options embedded

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20. Hedging with Treasury bond futures and Treasury note futures is complicated by the delivery options embedded in these contracts.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 24, 2024 04:02 AM

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20. Hedging with Treasury bond futures and Treasury note futures is complicated by the delivery options embedded in these contracts.
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19. In general, when hedging to the delivery date of the futures contract, a manager locks in the futures rate or price.
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20. Hedging with Treasury bond futures and Treasury note futures is complicated by the delivery options embedded

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Measuring And Controlling Interest Rate And Credit Risk

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