Question: How would your answer for part (b) in Problem 9 change if the relationship of the price sensitivity of futures con-tracts to the price sensitivity

How would your answer for part (b) in Problem 9 change if the relationship of the price sensitivity of futures con-tracts to the price sensitivity of underlying bonds were [∆Rf/(1 + Rf)/∆R/(1 + R)] = br = 0.92?

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