Describe how to calculate how many t-note futures contracts


Bond A is a 10-year bond with a duration of 8.9 years; bond B is a 3-year bond with a duration of 2.8; and Bond C is a 30-year bond with a duration of 30 years. Part 1: Describe how to calculate how many T-Note futures contracts are appropriate to hedge a Corporate Bond by first order sensitivities. Note that the 10-year T-Note has a duration of 9.0 years; the 3-year T-Note has a duration of 2.9 years; and 30-year T-Note has a duration of 19.9 years. Part 2: Are T-Note futures contracts appropriate to hedge Bond A, B or C?

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Financial Management: Describe how to calculate how many t-note futures contracts
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