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Question
You manage a $265 million bond portfolio which has a duration of 7.1 years. You want to hedge this portfolio with Treasury note futures that have a duration of 7.6 years and a futures price of 116. U.S. Treasury notes futures contracts are based on a par value of $100,000 and quoted as a percentage of par. How many contracts do you need to sell to complete this hedge?A. 1,371 contracts
B. 1,400 contracts
C. 1,550 contracts
D. 1,867 contracts
E. 2,134 contracts
Answer
This answer is hidden. It contains 2 characters.
Related questions
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