You manage a bond portfolio worth $200 million. You wish to hedge your portfolio against rise in interest rates by using

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You manage a bond portfolio worth $200 million. You wish to hedge your portfolio against rise in interest rates by using

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You Manage A Bond Portfolio Worth 200 Million You Wish To Hedge Your Portfolio Against Rise In Interest Rates By Using 1
You Manage A Bond Portfolio Worth 200 Million You Wish To Hedge Your Portfolio Against Rise In Interest Rates By Using 1 (44.03 KiB) Viewed 12 times
You manage a bond portfolio worth $200 million. You wish to hedge your portfolio against rise in interest rates by using T-bond futures that will mature in 9 months. The duration of your bond portfolio is 6 years, the duration of the T-bond is 7 years. The bond futures price is 96,000. (a) What action must you take and how many contracts? (b) Why do you need to use the duration of the bonds to get the answer? Edit View Insert Format Tools Table 12pt Paragraph BIU A v p²v|:
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