medium · FRM Part 1 Valuation and Risk Models
A 300 million position with a modified duration of 8.0 is hedged with bond futures (V_F = $110,000, D_mod, CTD = 6.0).
If the portfolio's duration increases to 9.0 and the CTD bond's duration increases to 7.0, what is the new required number of contracts (N)?
- 3,636
- 3,857
- 3,506
- 3,273
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