Today is 3/16/11 and you just bought $100 million par value of the 6.375s of...
70.2K
Verified Solution
Link Copied!
Question
Finance
Today is 3/16/11 and you just bought $100 million par value of the 6.375s of Aug 27 US TBonds. The TBonds pay coupons semi-annually and have a stated price of 129-18+. Determine their yield-to-maturity and duration. You want to hedge these TBonds using the Jun '11 US TBond futures contract which has a price of 122-16 and 6%, 15 year basis grade underlying asset. Determine the instantaneous ex ante minimum-risk futures position using the duration (version of the price sensitivity) approach.
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.