Multiple Choice
Suppose you are managing a bond portfolio with a current market value of $4.6 million. The bonds in this portfolio are priced at an average price of 98% of par and the duration of the portfolio is 12.62 years. If the cheapest to deliver bond for a Treasury Bond futures contract has a duration of 13.22 years, is priced at 97.5% of par, and has a conversion factor of 0.8315, how many Treasury Bond futures contracts would represent a 100% hedge?
A) Long 37 contracts
B) Long 57 contracts
C) Short 37 contracts
D) Short 57 contracts
Correct Answer:
Verified
Correct Answer:
Verified
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