Suppose the bond portfolio is twice as large, $20 million, but that its modified duration is only
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Suppose the bond portfolio is twice as large, $20 million, but that its modified duration is only 4.5 years. Show that the proper hedge position in T-bond futures is the same as the value just calculated, 100 contracts.
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The price value of a basis point is still 9000 as a onebasisp...View the full answer
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Related Book For
Essentials Of Investments
ISBN: 9780073368719
7th Edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
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