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Snowcat [4.5K]
3 years ago
12

Yields on short-term bonds tend to be more volatile than yields on long-term bonds. Suppose that you have estimated that the yie

ld on 20-year bonds changes by 10 basis points for every 15-basis-point move in the yield on 5-year bonds. You hold a $1 million portfolio of 5-year maturity bonds with modified duration 4 years and desire to hedge your interest rate exposure with T-bond futures (20 year maturity), which currently have modified duration 9 years and sell at F0 = $95. How many futures contracts should you sell?
Business
1 answer:
Alika [10]3 years ago
7 0

Answer:

70.1754386

Explanation:

The calculation of the number of the futures contract to sell as follows:

Portfolio value $1,000,000

Face value $100

Units. $10,000

Maturity portfolio. 5

Modified duration. 4

Modified duration of T bonds 9

Yield on portfolio. 0.000015

Yield on T bonds. 0.00001

Future price of the bonds $95

Loss of portfolio. $60

Decline in fut T bond price $.0086

Per value contract. $86

Number of future contract to sold 70.1754386

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d. risk resulting from an expected automobile industry shock g

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Which subtype of ADHD is characterized by lethargic, daydreamy behavior?
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predominantly inattentive

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2 years ago
Caspion Corporation makes and sells a product called a Miniwarp. One Miniwarp requires 2.5 kilograms of the raw material Jurislo
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Answer:

Cost of purchase= $1,014,300

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September= 21,300

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<u>First, we need to calculate the purchases in kg required using the following formula:</u>

Purchases= production + desired ending inventory - beginning inventory

Purchases= (2.5*22,600) + (2.5*21,300)*0.2 - 10,800

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Cost of purchase= 56,350*18= $1,014,300

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Market penetration, product development, market expansion, and diversification are examples of what?
Elanso [62]

Answer:

B. growth strategies

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