If the Fl wishes to hedge the balance sheet with T-bond options that have a delta...

 

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If the Fl wishes to hedge the balance sheet with T-bond options that have a delta of -0.8. The underlying long-term Treasury bonds for the option have a duration of 10 years and trade at a market value of $96 per $100 face value. One T-bond options contract is $100,000 face value and there is no basis risk. How many T-bond options contracts are needed to hedge the balance sheet? If the Fl wishes to hedge the balance sheet with T-bond options that have a delta of -0.8. The underlying long-term Treasury bonds for the option have a duration of 10 years and trade at a market value of $96 per $100 face value. One T-bond options contract is $100,000 face value and there is no basis risk. How many T-bond options contracts are needed to hedge the balance sheet?

Answer rating: 100% (QA)

To calculate the number of Tbond options contracts needed to hedge the balance sheet we need to cons... View the full answer