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Aportfolio is worth $24,000,000. the futures price for a treasury note futures contract
Aportfolio 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?
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kactus
4,6(15 marks)
no
Explanation:
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