On August 1, a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be 7.7 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next 2 months? The treasurer should short how many contracts? (Please answer in an interger number of contracts)

On August 1, a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be 7.7 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next 2 months? The treasurer should short how many contracts? (Please answer in an interger number of 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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