Determine the optimal hedge ratio


Determine the optimal hedge ratio for Treasury bonds worth $4,000,000 with a modified duration of 12.45 years yielding 11.9 percent if the futures has a price of $90,000, and a modified duration of 8.5 years?

Request for Solution File

Ask an Expert for Answer!!
Finance Basics: Determine the optimal hedge ratio
Reference No:- TGS038664

Expected delivery within 24 Hours