D4 Finance Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is: 3.5. 6.2. 10.8
D4 Finance Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is: 3.5. 6.2. 10.8
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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D4
Finance
Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is:
3.5.
6.2.
10.8
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