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Business, 22.03.2021 20:20 kay4358

It is January 30. You are managing a bond portfolio worth $10 million. The duration of the portfolio in six months will be 6.4 years. The September Treasury bond futures price is currently 108-08 ($108.25), and the cheapest-to-deliver bond has a duration of 5.95 years in September. How should you hedge against changes in interest rates over the next six months

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It is January 30. You are managing a bond portfolio worth $10 million. The duration of the portfolio...
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