Q1: A U.S.T-Bill is priced at 93.75 for 90 days. The actual futures price is.8977.435S984.375(ANSWER)8958.675S937.500 Q2:The target duration change of the portfolio sought is $2.5 million. The futures bonddelivery price is $80 and the underlying interest rate instrument is $100,000 percontract. A 100 bps interest rate change causes the futures price to change by 12% percontract. Assume the portfolio manager predicts a 25 bps change in interest rates.How many futures contracts should she buy or sell to reach her target duration? Selectthe closest answer.Buy 260 contracts.Buy 1.040 contractsSel1 260 contracts.Sel1 1.040 contracts(answer)
Q1: A U.S.T-Bill is priced at 93.75 for 90 days. The actual futures price is.8977.435S984.375(ANSWER)8958.675S937.500 Q2:The target duration change of the portfolio sought is $2.5 million. The futures bonddelivery price is $80 and the underlying interest rate instrument is $100,000 percontract. A 100 bps interest rate change causes the futures price to change by 12% percontract. Assume the portfolio manager predicts a 25 bps change in interest rates.How many futures contracts should she buy or sell to reach her target duration? Selectthe closest answer.Buy 260 contracts.Buy 1.040 contractsSel1 260 contracts.Sel1 1.040 contracts(answer)
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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Question
Q1: A U.S.T-Bill is priced at 93.75 for 90 days. The actual futures price is.
8977.435
S984.375(ANSWER)
8958.675
S937.500
Q2:The target duration change of the portfolio sought is $2.5 million. The futures bonddelivery price is $80 and the underlying interest rate instrument is $100,000 percontract. A 100 bps interest rate change causes the futures price to change by 12% percontract. Assume the
Buy 260 contracts.
Buy 1.040 contracts
Sel1 260 contracts.
Sel1 1.040 contracts(answer)
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