Solution-Disregarding margin and transaction costs

Disregarding margin and transaction costs

Reference no: EM132546622

In your portfolio you have $1 million of 20 year, 8 5/8 percent bonds which are selling at 83.15 (or 83 15/32) against this position. Because you feel interest rates will rise you sell 10 bond futures at 81.15 (or 81 15/32) against this position. Two months later you decide to close your position. The bonds have fallen to 78 and the futures contracts are at 75.16 (75 16/32). Disregarding margin and transaction costs, what is your gain or loss?

Reference no: EM132546622

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Disregarding margin and transaction costs

Reference no: EM132546622

Reference no: EM132546622

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