Test bank fundamentals of futures and options markets 7e by hull chapter 6

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Ngày đăng: 28/02/2018, 13:40

... $24,000,000 The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000 On the delivery date the duration of the bond... years and the duration of the portfolio will be 5.5 years How many contracts are necessary for hedging the portfolio? _ _ _ _ _ _ _ 10 Which of the following is true (circle one) (a) The futures. .. forward rate (c) The futures rates calculated from a Eurodollar futures quote should equal the corresponding forward rate (d) The futures rates calculated from a Eurodollar futures quote is sometimes
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