If we wish to hedge a bond that pays a cash flow of 2 million after six
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If we wish to hedge a bond that pays a cash flow of 2 million after six months and another cash flow of 102 million after twelve months, suggest a hedging scheme using eurodollar futures contracts. Assume that the bond is priced on a semiannual compounding basis and has a current yield to maturity of 4% per annum.
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We describe the payoff to the long futures position The payoff to the sh...View the full answer
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