Futures
The bond portfolio is comprised of one type of corporate BBB
bond. The term is 8 years semiannual, YTM is 5%, coupon is 8%. The
portfolio contains 1 million bonds.
Calculate the par value of the portfolio.
Calculate the market value of the portfolio.
Calculate the modified/ effective duration, using the formula
(not spreadsheet).
If the T-bond futures contract is priced at 98 and has a
duration of 4, and you wish to reduce the portfolio duration to
zero,...