Business, 06.05.2021 21:50 atefah88

A portfolio is worth $912,372 and has a duration of 8.77 years. The futures price for a June Treasury note futures contract is 105 and each contract is for the delivery of bonds with a face value of 100,000. On the delivery date the duration of the cheapest to deliver bond is 3.46 years. To hedge the interest rate risk, how many June T note futures do you have to enter short positions on

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A portfolio is worth $912,372 and has a duration of 8.77 years. The futures price for a June Treasur...

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