A portfolio manager wishes to hedge a bond portfolio with a value of $750 million and duration of 12.1 years. A 10-year Canada bond futures contract that expires in seven months is quoted at 105.85, and has a $100,000 face value. If the duration of the futures contract is 7.75 years, how many contracts are needed for the hedge?
A) 11,063
B) 11,241
C) 10,732
D) 10,467
E) 10,288

Question

Quizplus · Accepted Answer

The Answer of A portfolio manager wishes to hedge a bond portfolio with a value of $750 million and duration of 12.1 years. A 10-year Canada bond futures contract that expires in seven months is quoted at 105.85, and has a $100,000 face value. If the duration of the futures contract is 7.75 years, how many contracts are needed for the hedge?
A) 11,063
B) 11,241
C) 10,732
D) 10,467
E) 10,288

A Portfolio Manager Wishes to Hedge a Bond Portfolio with a Value