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

How would your answer for part

(b) in Problem 9 change if the relationship of the price sensitivity of futures contracts to the price sensitivity of underlying bonds were [Δ Rf/ (1 + Rf)/ΔR/(1 + R)] = br

= 0.92? ( LG 23-2)

LO.1

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