If you bought $10 million of each bond at the market price – how many 5-year note futures contracts with a face value of $250K and a market value of 80 and a duration of 4 would you need to buy or sell to hedge the entire portfolio? What is the portfolio duration? Fill out the appropriate boxes of the spreadsheet
If you bought $10 million of each bond at the market price – how many 5-year note futures contracts with a face value of $250K and a market value of 80 and a duration of 4 would you need to buy or sell to hedge the entire portfolio? What is the portfolio duration? Fill out the appropriate boxes of the spreadsheet
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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If you bought $10 million of each bond at the market price – how many 5-year note futures contracts with a face value of $250K and a market value of 80 and a duration of 4 would you need to buy or sell to hedge the entire portfolio? What is the portfolio duration? Fill out the appropriate boxes of the spreadsheet
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