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A portfolio is worth $24,000,000. The futures price for a Treasury bond futures contract is 110 and each contract is for
Posted: Tue Apr 26, 2022 11:14 am
by answerhappygod
- A Portfolio Is Worth 24 000 000 The Futures Price For A Treasury Bond Futures Contract Is 110 And Each Contract Is For 1 (58.47 KiB) Viewed 55 times
A portfolio is worth $24,000,000. The futures price for a Treasury bond futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio on the hedge termination date will be 5.5 years. How should the portfolio manager hedge the bond portfolio against changes in interest rates over the next 6 months? O a. Buy 200 futures contracts Ob. Buy 200,000 futures contracts OC. Sell 200 futures contracts O d. Sell 200,000 contracts