Today is 3/16/11 and you just bought $100 million par value of the 6.375s of...
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Today is 3/16/11 and you just bought $100 million par value of the 6.375s of Aug 27 US TBonds. The TBonds pay coupons semi-annually and have a stated price of 129-18+. Determine their yield-to-maturity and duration. You want to hedge these TBonds using the Jun '11 US TBond futures contract which has a price of 122-16 and 6%, 15 year basis grade underlying asset. Determine the instantaneous ex ante minimum-risk futures position using the duration (version of the price sensitivity) approach.
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