A 3-month hedge is required for a $10 million portfolio. Duration of the portfolio in 3 months
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Question:
A 3-month hedge is required for a $10 million portfolio. Duration of the portfolio in 3 months will be 3.8 years. The 3-month T-bond futures price is 93-02 so that contract price is $93,062.50. The duration of the cheapest-to-deliver bond in 3 months is 9.2 years.
The number of contracts to short for a 3-month hedge is
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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