A portfolio is worth $24,000,000.The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000.On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years.How many contracts are necessary for hedging the portfolio?
A) 100
B) 200
C) 300
D) 400
Correct Answer:
Verified
Q2: Which of the following is true?
A) The
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Q10: Which of the following day count conventions
Q11: How much is a basis point?
A) 1.0%
B)
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