FINA6212 Finance|Net Loss

Calculate the net change of this combined portfolio (long portfolio combined with the futures contract).  Answer the following questions, here or in the Excel worksheet. 5a. What is the net loss under each scenario?  5b. What is the percentage reduction in duration? 5c. In which scenario does your hedge perform closer to its goal of reducing duration from 6 to 4?  (See the CBOT document for detail on this calculation).  6.  Build a better hedge using all four futures contracts. Rather than using 1 futures contract to do a hedge that covers all four bonds, use all four futures contracts (you will have to go back to Bloomberg to get the futures contract information for the 2, 5, and 30 year bonds
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