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Accounting Homework Help
Accounting Homework Help
Question
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Suppose you want to hedge a $280 million bond portfolio with aduration of 8.9 years using 10-year Treasury note futures with aduration of 6.8 years, a futures price of 103, and 100 days toexpiration. The multiplier on Treasury note futures is $100,000.How many contracts do you buy or sell? (Do not roundintermediate calculations. Round your answer to the nearest wholenumber.) |
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16 Sep 2017
Due Date: 16 Sep 2017
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