You own a bond portfolio worth $5 mln on August 1^st, 2019. The duration of the portfolio in October will be 4.2 years. The November Treasury bond futures price is currently 96-26 and the CTD bond will have a duration of 5 years at maturity. How should you immunize the portfolio against changes in interest rates over the next 2 months?

Select one:

a.

you should short 45 futures contracts

b.

you need to purchase the option contract

c.

you should short only one futures contract

d.

you should long 45 futures contracts

pur-new-sol

Related Questions