How many futures contracts do you need to achieve the goal

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Question: You currently hold a portfolio consisting of 100 of 1-year T-bill selling for $960 and 150 3-year 5% coupon bonds. (Coupons are paid annually.) You want to immunize your portfolio against small changes in interest rates by using futures contract, written on 3-monts T-bill. How many futures contracts do you need to achieve this goal? Is it a long a short position? The term structure is currently flat.

Reference no: EM131965166

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