What are the delivery options granted to the seller of the Treasury bond futures contract?
Answer to relevant QuestionsHow is the theoretical futures price of a Treasury bond futures contract affected by the delivery options granted to the short? A manager wishes to hedge a bond with a par value of $20 million by selling Treasury bond futures. Suppose that (1) the conversion factor for the cheapest-to-deliver issue is 0.91, (2) the price value of a basis point of the ...Consider the portfolio in Exhibit 29-3. Suppose that the dollar duration of the 5-year Treasury note futures contract is $5,022. a. What position would a portfolio manager have to take in the contract to obtain a portfolio ...Explain how a market participant concerned with a decline in 3-month LIBOR can hedge that risk using the Eurodollar futures contract. What are the delta and gamma of an option?
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