k ces Suppose you want to hedge a $430 million bond portfolio with a duration of 8.8 years using 10-year Treasury note futures with a duration of 6.7 years, a futures price of 107, and 97 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.) Number of contracts
k ces Suppose you want to hedge a $430 million bond portfolio with a duration of 8.8 years using 10-year Treasury note futures with a duration of 6.7 years, a futures price of 107, and 97 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.) Number of contracts
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter4: Bond Valuation
Section: Chapter Questions
Problem 8MC: Suppose a 10-year, 10% semiannual coupon bond with a par value of 1,000 is currently selling for...
Related questions
Question
![k
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Suppose you want to hedge a $430 million bond portfolio with a duration of 8.8 years using 10-year Treasury note futures with a
duration of 6.7 years, a futures price of 107, and 97 days to expiration. The multiplier on Treasury note futures is $100,000. How many
contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.)
Number of contracts](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fbf1e2dcd-2600-4313-93c0-142ff45a17d5%2F3eb27f56-e09a-49ff-b408-41118afd0abe%2F2m2b03s_processed.jpeg&w=3840&q=75)
Transcribed Image Text:k
ces
Suppose you want to hedge a $430 million bond portfolio with a duration of 8.8 years using 10-year Treasury note futures with a
duration of 6.7 years, a futures price of 107, and 97 days to expiration. The multiplier on Treasury note futures is $100,000. How many
contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.)
Number of contracts
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