Suppose that the current price of a treasury future is 0.80 . If interest rates...
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Suppose that the current price of a treasury future is 0.80 . If interest rates were to increase by 1%, the price of the treasury future would drop to 0.75. The size of one contract in this futures market is for $100,000 FV of the treasury. If the $-duration of a bank's assets minus liabilities is 5 million, how many of this futures contract should the bank short in order to be perfectly hedged in terms of interest rate risk?
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