Explore BrainMass
Share

Treasury Futures

This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

Suppose you want to hedge a $400 million bond portfolio with a duration of 4.3 years using 10- year Treasury note futures with a duration of 6.7 years, a futures price of 102, and 3 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell?

© BrainMass Inc. brainmass.com March 21, 2019, 11:48 pm ad1c9bdddf
https://brainmass.com/economics/contracts/treasury-futures-474652

Solution Summary

The solution discusses treasury future and how many contracts to buy or sell.

$2.19