Solutions fundamentals of futures and options markets 7e by hull chapter 06

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Ngày đăng: 28/02/2018, 13:37

... and shorts an equivalent number of bond futures contracts When the futures price is too low, the arbitrageur shorts bonds and goes long an equivalent number of bond futures contracts Uncertainty... Eurodollar futures position leads to a profit if rates rise and a loss if they fall The duration of the commercial paper is twice that of the Eurodollar deposit underlying the Eurodollar futures. .. each futures contract is on $100,000 of bonds The bond that is expected to be cheapest to deliver will have a duration of 9.0 years at the maturity of the futures contract What position in futures
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