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
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![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)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F872477eb-844a-40a5-8be4-e46ee301738d%2F43288825-7448-43cc-a497-e1541b2aec88%2Ff9otdl6u_processed.jpeg&w=3840&q=75)
Transcribed Image Text: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)
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