A portfolio is worth $24 million. The current futures price for a 10-year Treasury bond futures contract is 94.25 and each contract is for the delivery of $100 000 face value of bonds. The futures contract is for a 10-year 6% per annum semi-annually compounded) coupon bond and the duration will be 6 years at maturity. The duration of the bond portfolio on the delivery date will be 5.5 years. What is the futures contract price answer with up to two decimal places)? How many contracts to the nearest whole number) are necessary to hedge the portfolio? _ _ _ _ _ _ _ _

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The Answer of A portfolio is worth $24 million. The current futures price for a 10-year Treasury bond futures contract is 94.25 and each contract is for the delivery of $100 000 face value of bonds. The futures contract is for a 10-year 6% per annum semi-annually compounded) coupon bond and the duration will be 6 years at maturity. The duration of the bond portfolio on the delivery date will be 5.5 years. What is the futures contract price answer with up to two decimal places)? How many contracts to the nearest whole number) are necessary to hedge the portfolio? _ _ _ _ _ _ _ _

A Portfolio Is Worth $24 Million