Assume that you manage a bond portfolio. The Dollar duration of the portfolio is - 1 ,

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Question:

Assume that you manage a bond portfolio. The Dollar duration of the portfolio is

- 1, 562, 000 .

An instrument is traded with dollar duration equal to

- 755 .

To make the portfolio duration neutral you need to trade this many units of the hedging instrument. Answer approximate to the closest integer. Use the negative sign for short sell

(

example:

- 2550)

and just the integer for buy

(

example:

2550) .

Posted Date: May 10, 2024 02:03 AM

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Assume that you manage a bond portfolio. The Dollar duration of the portfolio is - 1 ,

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