1.The portfolio uses 75% SPY and 25% bonds.The portfolio market value is $100M.The bond is 8 years semi, yielding 4%, coupon 9%, BBB rating, reinvestment rate of 3%.The available futures are the ES (trading at 3,800) and ZB (priced at 97).Change the AA to 50% equity with a beta of 1.2 and fixed income with a duration of 3.The simulation is stocks rise 0.80% and the interest rates fall 70 bps.Calculate the number of contracts and do a proof.

Answer rating: 100% (QA)

To calculate the number of contracts for ES Emini SP 500 futures and ZB 30year Treasury bond futures ... View the full answer