Suppose you want to hedge a $400 million bond portfolio with a duration of 4.3 years using

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Suppose you want to hedge a $400 million bond portfolio with a duration of 4.3 years using 10-year Treasury note futures with a duration of 6.7 years, a futures price of 102, and 3 months to expiration. The multiplier on Treasury note futures is $100,000.
How many contracts do you buy or sell?

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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