Multiple Choice
Your bond portfolio has a value of $10,600,000 with a duration of 2.2 years. How many 90-day US Treasury bill futures contracts do you need to hedge this exposure if the futures contract is priced at $995,000? Assume you are carrying out duration-based hedging.
A) 1.21
B) 5.86
C) 10.65
D) 93.75
Correct Answer:
Verified
Correct Answer:
Verified
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