Bond portfolio using price sensitivity hedge ratio

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Reference no: EM131057149

A bond portfolio is worth $24,000,000 today. The futures price for a Treasury note futures contract is $110,000 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 that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years. How many contracts are necessary for hedging the bond portfolio using price sensitivity hedge ratio (assume continuous compounding)?

Reference no: EM131057149

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