A corporation buys $2.5 million (face value) of a 20-year bond with a 5% semi-annual coupon priced at 102.25 with a duration of 16.36. What position should the corporation take in a 10-year zero priced at $67.88 to hedge against parallel shifts of the term structure?

Answer rating: 100% (QA)

To hedge against parallel shifts of the term structure the corporation should take a position in the ... View the full answer