It is November 9th. You are managing a bond portfolio worth $6 million. The duration of the portfolio in 6 months will be 9.5 years. You decide to hedge the exposure of interest rate changes in the next 6 months by using Eurodollar futures. The 3-month June Eurodollar futures price is quoted as 96.00. How should you hedge if using the June Eurodollar futures contracts?

It is November 9th. You are managing a bond portfolio worth $6 million. The duration of the portfolio in 6 months will be 9.5 years. You decide to hedge the exposure of interest rate changes in the next 6 months by using Eurodollar futures. The 3-month June Eurodollar futures price is quoted as 96.00. How should you hedge if using the June Eurodollar futures contracts?

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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Table 2.7 Corn futures prices on the Chicago Mercantile Exchange, January 3, 2019 Maturity Last Mar-19 May-19 Jul-19 Sep-19 Dec-19 Mar-20 Change High 3.8025 0.7500 3.8075 3.7975 3.8800 0.5000 3.8800 3.8750 3.9500 0.2500 3.9525 3.9450 3.9700 0.0000 3.9700 3.9650 4.0075 -0.5000 4.0100 4.0025 4.0975 0.0000 4.1000 4.0950 Low Source: www.cmegroup.com.
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