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- 2011-7-11
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- 2013-8-23
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The current dollar duration of a portofolio is $100,000 an investor fears a 50-basis-point rise in interest rates and he wants to completely hedge the portfolio. The dollar duration of the cheapest-to-deliver (CTD) issue is $5,000, and its conversion
factor is 0.9. How will he hedge this position?
A. Sell 18 contracts
B. Sell 9 contracts
Choose an appropriate answer ? |
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发表于 2013-5-6 11:27
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