ASSIGNMENT 4: Futures Hedging

  • Due Sep 19, 2021 at 11:59pm
  • Points 5
  • Questions 5
  • Available after Sep 15, 2021 at 8pm
  • Time Limit 60 Minutes

Instructions

Suppose you manage a portfolio containing intermediate maturity bonds (close to 5-years to maturity). Below is a spreadsheet containing quoted prices for these bonds and the face values you hold of each. For simplicity all bonds are on the May/Nov cycle so AI will be easy to calculate.

In addition I have given you the futures price and the maturity, coupon rate, and TCF of the CTD bond. You should assume a ZERO NET BASIS.

Bond Portfolio for Hedging.xlsx

Use this information in answering the questions.

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