D4 Finance Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is: 3.5. 6.2. 10.8

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 25P
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D4 Finance Bond portfolio currently has a duration of 4.7 and a value of $800,000. The price of the cheapest to deliver treasury is $97,425 and has a duration of 7.63, and the conversion factor of for this cheapest to deliver bond is 1.29. The portfolio manager wants to temporarily change the duration of the portfolio and uses futures contracts to reach the duration objective. Determine the number of futures contracts to be bought or sold if the new duration objective is: 3.5. 6.2. 10.8
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