张同学2018-10-06 21:30:30

John Holt is managing a fixed-income portfolio worth USD 10 million. The duration of the portfolio today is 5.9 years and six months六个月之后 it is expected to be 6.2 years. The 6-month Treasury bond futures contract is trading at USD 98.47. The bond that is expected to be cheapest-to-deliver has a duration of 4.0 years today and an expected duration of 4.8 years at the maturity of the futures contract. How many futures contracts should John short to hedge against changes in interest rates over the next six months? Each futures contract is for the delivery of USD 100,000 face value of bonds. A、157 contracts B、150 contracts C、131 contracts D、125 contracts 答案：C 老师，请问这题为什么要用未来的久期