Chapter Two Test Bank Chapter Two Valuation, Risk, Return, and Uncertainty A An ordinary annuity is a _ series of _ cash a finite, constant b finite, growing c infinite, constant d infinite, growing B The winner of a state lottery usually receives a(n) a ordinary annuity b annuity due c growing annuity d perpetuity B Using a discount rate of 8% per year, what is the present value of an ordinary annuity of $100 per year for 10 years? a $1,000 b $671 c $887 d $557 A Using a discount rate of 8% per year, what is the present value of an annuity due of $100 per year with 10 payments? a $725 b $559 c $793 d $772 D Using a discount rate of 8% per year (compounded quarterly), what is the present value of an ordinary annuity of $100 per year for 10 years? a $726 b $662 c $811 d $684 142 Chapter Two Test Bank C A perpetual cash flow stream makes its first payment of $500 in one year Using a 7% annual discount rate and a 3% growth rate in the value of subsequent payments, what is the present value of this growing perpetuity? a $2,000 b $20,000 c $12,500 d $125,000 B A perpetuity makes annual payments of $250 The perpetuity is valued using a 10% discount rate What is the value of the perpetuity if the first payment is made immediately? a $2,500 b $2,750 c $25,000 d $2,525 A The fact that most investors are risk averse means they will a only take risks for which they are properly rewarded b not take a risk c not voluntarily take a risk d not take a risk unless they know the outcome in advance B Which of the following statements is true? a Some people are risk averse and others are not b Some people are more risk averse than others c Risk averse people will not take a risk d Risk averse people are willing to settle for less return than risk neutral people A 10 Risk must involve a a chance of loss b an unknown probability distribution c actual dollars d negative expected returns C 11 Overall variability of returns is called a systematic risk b unsystematic risk c total risk d undiversifiable risk 143 Chapter Two Test Bank B 12 Risk is often measured as a central tendency of returns b dispersion of returns c expected value of returns d possibility of negative returns A 13 Riskier securities have _ returns a higher expected b lower realized c higher instantaneous d lower long-term B 14 The market rewards investors for bearing _risk a diversifiable b undiversifiable c unsystematic d total B 15 The diminishing marginal utility of money explains why a some stocks sell for more than others b most people will not take a fair bet c people view the stock market as risky d people tend to pay too much C 16 The text described an example of the diminishing marginal utility of money with a statement made by a _ player a hockey b football c tennis d basketball C 17 Individual investment behavior is more a function of _ than _ a risk, expected return b expected return, utility c utility, expected return d expected return, risk B 18 The St Petersburg paradox explains why a some stocks sell for more than others b most people will not take a fair bet c people view the stock market as risky d people tend to pay too much 144 Chapter Two Test Bank A 19 In economic theory, if money is not saved, it is a consumed b invested c unrealized d deferred D 20 Wearing a Rolex watch is an example of someone getting a psychic return b utility c satisfaction d all of the above B 21 Two large classes of risk are a systematic and undiversifiable b price and convenience c realized and psychic d market and intermarket C 22 Individual consumption decisions are a major factor in determining a credit ratings of corporations b dividend rates c market interest rates d levels of perceived risk B 23 If a stock has a higher than average expected return, you would logically expect it is a widely held by investors b riskier than average c in an industry with good prospects d a well-managed company D 24 What is the present value of a growing perpetuity with an initial cash flow of 1000 (C0), a growth rate of 3% per year (g), and a required rate of return of 8% (R)? a $7777.64 b $12,500 c $20,000 d $20,600 145 Chapter Two Test Bank C 25 Most investors would not be interested in a fair bet because a they would be concerned whether it is really fair b investors not willingly take a risk when it is possible to lose money c losing a given amount of money would reduce utility more than winning the same amount would increase utility d they accept only bets with a sure outcome B 26 The holding period return is calculated as P1  P0 P0 P  P  income b P0 P  P  income c P0 P  P  income d P0 a C 27 You bought 100 shares of stock at $35, received $3 per share in dividends, and sold the shares for $50 Your holding period return is a 36% b $1,503 c 51.4% d $5,300 B 28 Which of the following is true of the holding period return? a It considers the time value of money b It is independent of the passage of time c It explicitly considers risk d It only considers capital gains or losses C 29 A holding period return should only be compared with returns calculated a over shorter periods b over longer periods c over periods of the same length d over periods of the same length or less D 30 A stock's return is 15.5% The return relative is a 0.845 b -0.845 c 0.155 d 1.155 146 Chapter Two Test Bank D 31 Return relatives are calculated primarily to deal with the potential problem of a changing returns b large returns c zero returns d negative returns A 32 A stock has monthly returns of 4%, 5%, 2%, and -3% Its arithmetic average return is a 2% b 3% c 4% d 5% A 33 A stock has monthly returns of 4%, 5%, 2%, and -3% Its geometric average return is a 1.9% b 2.1% c 3.3% d cannot be determined B 34 You buy a stock for $50 per share Over the next four months, it has monthly returns of 4%, 5%, 2%, and -3% The value of a share at the end of the fourth month is a $51.20 b $54.02 c $54.12 d $56.45 A 35 Suppose a stock pays no dividends Another method of calculating the return relative is a b c d P1 P0 P0 P1 P1  P0 P0 P0  P1 P1 147 Chapter Two Test Bank A 36 The arithmetic mean is always _ the geometric mean a greater than or equal to b greater than c less than or equal to d less than A 37 The _ the dispersion in a series of numbers, the the gap between the arithmetic and geometric mean a greater, greater b greater, smaller c smaller, greater d more predictable, less predictable A 38 Technically, _ refers to the past; _ refers to the future a return, expected return b realized return, return c return relative, return d return, return relative C 39 According to the book, which of the following terms can mean different things to different people? a Return on assets b Return on equity c Return on investment d Return of principal B 40 The use of _ can dramatically affect an investor's return a historical data b leverage c arithmetic averages d variance calculations D 41 Total risk can be measured by all of the following EXCEPT a variance b standard deviation c semi-variance d arithmetic mean 42 The variance of x is 25 What is the variance of 2x? a 25 b 50 c 75 d 100 D 148 Chapter Two Test Bank B 43 Semi-variance only considers a extreme variation b adverse variation c unexpected variation d anticipated variation C 44 Discrete random variables are _; continuous random variables are a quantifiable, unquantifiable b objective, subjective c counted, measured d dependent, independent B 45 A variable whose value is based on the value of other variables is a(n) a independent variable b dependent variable c stochastic variable d estimated variable A 46 Random variables reside in a population a sample b continuous set c discrete set A 47 A jar contains a mixture of coins; you need a quarter From your perspective, the distribution of coins in the jar is univariate a bivariate b trivariate c multivariate 48 If a distribution shows more possible outcomes on one side of the mean than the other, the distribution shows a uniformity b normal characteristics c random characteristics d skewness D 149 Chapter Two Test Bank D 49 A coin-flipping experiment in which you measure heads or tails takes observations from a _ distribution a chi-square b exponential c Poisson d binomial D 50 Which of the following is a measure of central tendency? a Skewness b Variance c Kurtosis d Mean D 51 The expected value of a random variable is also called the a skewness b variance c kurtosis d mean D 52 A jar contains 100 quarters, 50 dimes, and 50 nickels What is the expected value of a single observation from this coin population? a $0.375 b $0.200 c $0.133 d $0.163 D 53 Which of the following can help reduce the effect of outliers? a Rounding b Regression c Interpolation d Logarithms C 54 The expected value of x is 5% What is E(6x)? a 0.833% b 5% c 30% d Cannot be determined 150 Chapter Two Test Bank A 55 The correlation coefficient is equal to a ~ cov(a~, b )  a b ~ b cov(a~, b ) a b c ~ cov(a~, b ) a d  [ b ~ cov(a~, b )  a b ] A 56 The minimum value of the correlation coefficient is a -1 b c +1 d there is no minimum value D 57 The minimum value of covariance is a -1 b c +1 d there is no minimum value A 58 R squared is a measure of a goodness of fit b partial dispersion c central tendency d skewness B 59 A sample of 100 observations has a standard deviation of 25 What is the standard error? a b 2.5 c .25 d Cannot be determined C 60 A sample of 100 observations has a standard deviation of 25 and a mean of 75 What is the 95% confidence interval? a 50  x  75 b 73  x  77 c 70  x  80 d 74.5  x  75.5 151 Chapter Two Test Bank A Which of the following is usually least appropriate for a bond portfolio? a Buy and hold b Indexing c Constant proportion d Barbell strategy D The Handbook of Fixed Income Securities lists about _ different bond indexes a b 29 c 129 d 229 C A well-known bond index is one published by a Jackson, Brookings b Donaldson, Lufkin, Jenrette c Lehman Kuhn Loeb d Josephthals D Which of the following is the principal characteristic of a laddered bond portfolio? a Constant annual income b Constant portfolio value c No interest rate risk d Equal proportions across the yield curve A Annual revision of a laddered bond portfolio requires a buying a long-term bond b selling a short-term bond c selling a long-term bond d buying a short-term bond B The principal way in which a barbell portfolio differs from a laddered portfolio is the barbell has a greater investment in the middle maturities b less investment in the middle maturities c greater investment in high coupon bonds d greater investment in low coupon bonds D Which of the following is arbitrary in a barbell bond portfolio? a Number of weights b Size of the weights c Thickness of the bar 246 Chapter Two Test Bank d All of the above B If you pay commissions to buy or sell bonds, annual revision of a barbell portfolio requires the payment of commissions a b c d B 10 If you hold yield to maturity constant and plot bond duration as a function of years until maturity, the curve has a _ first derivative and a _ second derivative a positive, positive b positive, negative c negative, positive d negative, negative A 11 Yield curve inversion occurs when a short-term rates are rising faster than long-term rates b long-term rates are rising faster than short-term rates c short-term rates equal long-term rates d T-bill rates are less than government bond rates A 12 Which of the following types of swaps is inconsistent with the efficient market hypothesis? a Substitution b Intermarket c Bond rating d Rate anticipation A 13 Convexity is the difference between a actual price change and duration-predicted price change b actual price change and market average price change c actual price change and government bond price change d actual price change and yield to maturity change D 14 The importance of convexity increases as a time passes b the level of interest rates rises c the level of interest rates falls d the magnitude of the rate change increases 247 Chapter Two Test Bank B 15 Convexity is related to the derivative of the bond pricing relationship a first b second c third d fourth C 16 Modified duration is Macaulay duration a equal to b greater than c less than d greater than or equal to D 17 Which of the following is false? a The higher the yield to maturity, the lower the convexity, everything else being equal b The lower the coupon, the greater the convexity, everything else being equal c The greater the convexity, the better, everything else being equal d The higher the duration, the lower the convexity, everything else being equal A 18 Everything else being equal, bond investors prefer a high convexity b low convexity c convexity equal to the bond market average d none of the above B 19 An appropriate comparison between the performance of a managed bond portfolio and an index requires finding an index with the same a reinvestment rate risk and interest rate risk b default risk and duration c level of annual turnover d average coupon rate and maturity A 20 Assuming average coupon rates and a normal yield curve, the ladder portfolio generally has reinvestment rate risk and _ interest rate risk than a barbell portfolio a less, more b less, less 248 Chapter Two Test Bank c more, less d more, more A 21 When comparing the performance of ladder and barbell portfolios, if interest rates decrease, _ portfolios are favored in terms of reinvestment rate risk and _ portfolios are favored in terms of interest rate risk a ladder, ladder b ladder, barbell c barbell, ladder d barbell, barbell B 22 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay duration of 11.23 years and a convexity of 170.26, and the yield to maturity increases 1%, an estimate of the percent price change in the bond due only to duration would be a –11.23% b –10.90% c –9.23% d –8.23% C 23 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay duration of 11.23 years and a convexity of 170.26, and the yield to maturity increases 1%, an estimate of the percent price change in the bond due only to convexity would be a –0.85% b –1.77% c +0.85% d +1.77% C 24 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay duration of 11.23 years and a convexity of 170.26, and the yield to maturity increases 1%, an estimate of the percent price change in the bond due to both duration and convexity would be a –12.36% b –11.44% c –10.05% d –8.82% B 25 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay 249 Chapter Two Test Bank duration of 11.23 years and a convexity of 170.26, and the yield to maturity decreases 1%, an estimate of the percent price change in the bond due only to duration would be a 11.23% b 10.90% c 9.23% d 8.23% C 26 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay duration of 11.23 years and a convexity of 170.26, and the yield to maturity decreases 1%, an estimate of the percent price change in the bond due only to convexity would be a –0.85% b –1.77% c 0.85% d 1.77% B 27 Suppose a bond has 20 years left to maturity, an 8% coupon rate, pays interest semi-annually, and has a 6% yield to maturity If this bond has a Macaulay duration of 11.23 years and a convexity of 170.26, and the yield to maturity decreases 1%, an estimate of the percent price change in the bond due to both duration and convexity would be a 12.93% b 11.75% c 10.59% d 9.23% B 28 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity increases 1/2%, an estimate of the percent price change in the bond due only to duration would be a –6.50% b –6.28% c –5.64% d –5.21% C 29 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity increases 250 Chapter Two Test Bank C 1/2%, an estimate of the percent price change in the bond due only to convexity would be a –0.60% b –0.30% c +0.30% d +0.60% 30 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity increases 1/2%, an estimate of the percent price change in the bond due to both duration and convexity would be a –6.37% b –6.21% c –5.98% d –5.61% C 31 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity decreases 1/2%, an estimate of the percent price change in the bond due only to duration would be a 5.21% b 5.64% c 6.28% d 6.50% C 32 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity decreases 1/2%, an estimate of the percent price change in the bond due only to convexity would be a –0.60% b –0.30% c +0.30% d +0.60% C 33 Suppose a bond has 25 years left to maturity, a 5% coupon rate, pays interest semi-annually, and has a 7% yield to maturity If this bond has a Macaulay duration of 13 years and a convexity of 237.15, and the yield to maturity decreases 251 Chapter Two Test Bank 1/2%, an estimate of the percent price change in the bond due to both duration and convexity would be a 5.77% b 6.20% c 6.58% d 6.87% Chapter Twenty Two Benching the Equity Players A Delta enables the portfolio manager to determine the a number of options necessary to mimic the returns of the underlying security b number of options necessary to reduce the risk of the underlying portfolio by half c number of options necessary to double the portfolio return per unit of risk d standard deviation of portfolio returns B The simultaneous holding of a long stock position and a long put is called a a fiduciary put b protective put c collateralized put d cash-secured put C For a call option, delta is always a greater than one b less than one c less than one and greater than zero d less than or equal to zero B For a call option, delta _ as the striking price _ a increases, increases b decreases, increases c increases, approaches the stock price d decreases, approaches the stock price A For at-the-money puts and calls on the same stock a the put delta is always less than the call delta b the put delta is always equal to the call delta c the put delta is always greater than the call delta 252 Chapter Two Test Bank d the put delta is always less than or equal to the call delta B When calculating a protective put hedge ratio, all of the following pieces of information are necessary EXCEPT a delta b option striking price c stock beta d number of shares of stock held C A characteristic of stock index futures is, they a have limited risk b pay dividends monthly c are settled in cash d have a beta of zero B If the S&P500 index is 400.00, how many S&P500 futures contracts must you sell to hedge a $10 million stock portfolio with a beta of 1.10? a 100 b 110 c 120 d 130 B Which of the following statements is true regarding a stock index futures contract? a The basis is usually negative b The basis will converge on zero as time passes c The basis will only decrease; it cannot increase d The basis will only increase; it cannot decrease A 10 Dynamic hedging strategies seek to a replicate a put option b replicate a call option c replicate a covered call option d replicate a short put C 11 A portfolio contains 10,000 shares of XYZ stock; the portfolio manager writes 10 XYZ calls If the call delta is 0.455, what is the position delta? a 455 b 545 253 Chapter Two Test Bank c 9,545 d 10,455 B 12 A portfolio contains 10,000 shares of XYZ stock; the portfolio manager buys 100 XYZ puts If the put delta is -0.220, what is the position delta? a 220 b 7,800 c 10,220 d Cannot be determined C 13 An ABC JUN 45 call has a delta of 0.445; what is the delta of an ABC JUN 45 put? a 0.445 b 0.555 c -0.555 d -0.445 B 14 All of the following will lower position delta EXCEPT a buying puts b buying calls c writing calls d selling stock C 15 When futures contracts are used in dynamic hedging, falling security prices will cause the manager to a buy futures contracts b buy more stock c sell futures contracts d sell stock B 16 Assume the stock price is $50, a call option has a premium of $5, a put option on that stock has a premium of $3, and you presently hold no position in the three Ignoring commissions, a protective put would require an investment of a $47 per share b $53 per share c $55 per share d $58 per share C 17 Suppose you hold a protective put position when the stock price is $52 and the put option has a strike price of $50 If the put option has a delta of –0.500 and the 254 Chapter Two Test Bank stock price falls to $44 at the expiration date, what would be the change in value of your protective put position from today to the expiration date? a -$8 per share b -$4 per share c -$2 per share d B 18 Suppose the stock price is $48, a call option has a strike price of $50 and a premium of $5, and a put option has a strike price of $45 and a premium of $2 Assume you currently hold no position If you create a protective put position, what is the maximum possible loss and maximum possible gain per share at the expiration date? a Maximum Loss = $1, Maximum Gain = Unlimited b Maximum Loss = $5, Maximum Gain = Unlimited c Maximum Loss = $47, Maximum Gain = $1 d Maximum Loss = $50, Maximum Gain = $5 C 19 Suppose the stock price is $48, a call option has a strike price of $50 and a premium of $5, and a put option has a strike price of $45 and a premium of $2 Assume you currently hold no position If you create a covered call position, what is the maximum possible loss and maximum possible gain per share at the expiration date? a Maximum Loss = $1, Maximum Gain = Unlimited b Maximum Loss = $5, Maximum Gain = Unlimited c Maximum Loss = $43, Maximum Gain = $7 d Maximum Loss = $53, Maximum Gain = $3 A 20 Suppose the stock price is $50, the call delta is 0.600 and the put delta is – 0.400 A portfolio of 1,000 shares, writing calls on 500 shares, and buying puts on 500 shares has a position delta of a 500 b 1500 c 4500 d 5500 A 21 Suppose the stock price is $50, the call delta is 0.600 and the put delta is –0.400 A portfolio of 1,000 shares, writing calls on 700 shares, and buying puts on 300 shares has a position delta of a 460 b 700 c 1200 d 1300 255 Chapter Two Test Bank B 22 Suppose the S&P 100 index closed at 541.86 and that a May 500 put has a premium of $2.50 and a delta of –0.444 You have a $1 million stock portfolio with a beta of 1.20 How many index put options contracts must you buy to fully hedge this portfolio? a 22 b 50 c 125 d 5000 B 23 Suppose the June S&P 500 index futures contract settled at 1091.80 You have a $2.730 million stock portfolio with a beta of 1.20 How many index futures contracts must you enter into in order to have a 100% hedge? a Short 10 contracts b Short 12 contracts c Long 10 contracts d Long 12 contracts Chapter Twenty-Three Removing Interest Rate Risk C The most important intermediate term interest rate futures contract is on a treasury bills b Eurodollars c treasury notes d treasury bonds A A Eurodollar is a dollar-denominated deposit a outside the United States b in Europe c in Europe or Canada d in Europe, Asia, or the Pacific Basin B A $10,000 6-month T-bill sells for $9,800 What is its annualized yield to maturity? a 2.04% b 4.08% 256 Chapter Two Test Bank c 6.12% d 6.66% D A T-bill futures contract calls for the delivery of a $100,000 of 60 day T-bills b $100,000 of 90 day T-bills c $1 million of 60 day T-bills d $1 million of 90 day T-bills A If someone had a need to lock in a short-term interest rate, they would be most likely to a buy T-bill futures b sell T-bill futures c buy T-note futures d sell T-note futures C Treasury bonds a are not callable b may be callable after 10 years c may be callable after 15 years d are always callable after years B An adjustment factor is used to convert a T-bond to a bond yielding a 5% b 6%, a decline from the former 8% level c 8%, an increase from the former 7% level d 9% B Which is the correct formula for invoice price? a (settlement price/conversion factor) – accrued interest b (settlement price * conversion factor) + accrued interest c (settlement price/conversion factor) + accrued interest d (settlement price * conversion factor) – accrued interest A When long-term interest rates are above 6%, the cheapest to deliver bond has a the highest duration b the lowest duration c duration equal to 15.0 d the highest yield to maturity D 10 Immunization strategies deal mostly with a credit risk b market risk 257 Chapter Two Test Bank c convenience risk d interest rate risk A 11 In a bullet immunization application, the manager seeks to get _ to cancel out a interest rate risk and reinvestment rate risk b interest rate risk and default risk c convenience risk and price risk d reinvestment rate risk and default risk B 12 If interest rates are expected to rise, the portfolio manager might logically a raise duration b lower duration c lower average yield d lower average bond rating D 13 A bank's funds gap equals a the extent to which asset duration exceeds liability duration b total assets minus total liabilities c total assets minus current liabilities d rate sensitive assets minus rate sensitive liabilities A 14 Banks usually make duration adjustments by a altering the left side of the balance sheet b altering the right side of the balance sheet c altering both sides of the balance sheet d altering only the equity account B 15 Disadvantages of immunization include all of the following EXCEPT a cost of being wrong b it only works for long-term investment horizons c transactions costs d it reduces the portfolio yield C 16 Suppose a $10,000 Treasury Bill with 82 days left until maturity is quoted at an asking bank discount rate of 3.20% What would be the price of this Treasury Bill? a $9,727 b $9,866 c $9,927 d $10,000 258 Chapter Two Test Bank B 17 Suppose a $10,000 Treasury Bill with 85 days left until maturity has a selling price of $9933.89 What is the asking bank discount yield? a 2.3% b 2.8% c 3.3% d 3.8% B 18 Suppose a $10,000 Treasury Bill with 85 days left until maturity has a selling price of $9933.89 What is the asking bond equivalent yield? a 2.36% b 2.86% c 3.36% d 3.86% B 19 Suppose a $10,000 Treasury Bill with 85 days left until maturity has a selling price of $9933.89 What is the compounded effective annual rate? a 2.39% b 2.89% c 3.39% d 3.89% B 20 Suppose a Treasury Bill futures contract is quoted at a settlement price of 96.45 percent of par If two months from now the futures price is quoted at 95.45 percent of par, what would be the gain or loss for a long Treasury Bill futures position over this period? a -$2,550 b -$2,450 c $2,450 d $2,550 D 21 Suppose you are managing a bond portfolio with a current market value of $4.6 million The bonds in this portfolio are priced at an average price of 98% of par and the duration of the portfolio is 12.62 years If the cheapest to deliver bond for a Treasury Bond futures contract has a duration of 13.22 years, is priced at 97.5% of par, and has a conversion factor of 0.8315, what is the hedge ratio for using this Treasury Bond futures contract? a 1.0773 b 0.9373 c 0.8664 d 0.7978 259 Chapter Two Test Bank C 22 Suppose you are managing a bond portfolio with a current market value of $4.6 million The bonds in this portfolio are priced at an average price of 98% of par and the duration of the portfolio is 12.62 years If the cheapest to deliver bond for a Treasury Bond futures contract has a duration of 13.22 years, is priced at 97.5% of par, and has a conversion factor of 0.8315, how many Treasury Bond futures contracts would represent a 100% hedge? a Long 37 contracts b Long 57 contracts c Short 37 contracts d Short 57 contracts 260