Question
If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1,100. How many Eurodollar
If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1,100. How many Eurodollar futures contracts are needed to hedge the portfolio?
A. 44
B. 22
C. 11
D. 1,100
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Bank Management
Authors: Timothy W. Koch, S. Scott MacDonald
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1133494684, 978-1305177239, 1305177231, 978-1133494683
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