INVESTMENTS-CONNECT PLUS ACCESS
11th Edition
ISBN: 2810022611546
Author: Bodie
Publisher: MCG
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Chapter 23, Problem 15PS
Summary Introduction
To calculate: The Number of selling future contracts with the help of given information.
Introduction: Future contracts are the agreement between buyer and seller to exchange their commodities in future time at a specific price of the item. Short term bonds are more unpredictable than the long term.
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Yields on short-term bonds tend to be more volatile
than yields on long-term bonds. Suppose that you
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changes by 7.5 basis points for every 20.25-basis-
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Note: Do not round intermediate calculations. Round
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Yields on short-term bonds tend to be more volatile than yields on long-term bonds. Suppose that you have estimated that the yield on 20-year bonds changes by 10 basis points for every 15-basis-point move in the yield on 5-year bonds. You hold a $1 million portfolio of 5-year maturity bonds with modified duration 4 years and desire to hedge your interest rate exposure with T-bond futures, which currently have modified duration 9 years and sell at F0 = $95. How many futures contracts should you sell?
Yields on short-term bonds tend to be more volatile than yields on long-term bonds. Suppose that you
have estimated that the yield on 20-year bonds changes by 10 basis points for every 15-basis-point move
in the yield on 5-year bonds. You hold a $1 million portfolio of 5-year maturity bonds with modified
duration 4 years and desire to hedge your interest rate exposure with T-bond futures, which currently
have modified duration 9 years and sell at Fo= $95. How many futures contracts should you sell? (Do not
round intermediate calculations. Round your final answer to the nearest whole number.)
Number of future contracts
Chapter 23 Solutions
INVESTMENTS-CONNECT PLUS ACCESS
Ch. 23 - Prob. 1PSCh. 23 - Prob. 2PSCh. 23 - Prob. 3PSCh. 23 - Prob. 4PSCh. 23 - Prob. 5PSCh. 23 - Prob. 6PSCh. 23 - Prob. 7PSCh. 23 - Prob. 8PSCh. 23 - Prob. 9PSCh. 23 - Prob. 10PS
Ch. 23 - Prob. 11PSCh. 23 - Prob. 12PSCh. 23 - Prob. 13PSCh. 23 - Prob. 14PSCh. 23 - Prob. 15PSCh. 23 - Prob. 16PSCh. 23 - Prob. 17PSCh. 23 - Prob. 18PSCh. 23 - Prob. 19PSCh. 23 - Prob. 20PSCh. 23 - Prob. 21PSCh. 23 - Prob. 22PSCh. 23 - Prob. 23PSCh. 23 - Prob. 24PSCh. 23 - Prob. 25PSCh. 23 - Prob. 26PSCh. 23 - Prob. 1CPCh. 23 - Prob. 2CPCh. 23 - Prob. 3CPCh. 23 - Prob. 4CPCh. 23 - Prob. 5CPCh. 23 - Prob. 6CPCh. 23 - Prob. 7CPCh. 23 - Prob. 8CP
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