Business, 28.04.2021 22:00 abby2236

Suppose a bank has an asset duration of 4.4 years and a liability duration of 3.2 years. This bank has $900 million in assets and $600 million in liabilities. They are planning on trading in a Treasury bond future which has a duration of 6 years and which is selling right now for $98,500 for a $100,000 contract. How many futures contracts does this bank need to fully hedge itself against interest rate risk

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Suppose a bank has an asset duration of 4.4 years and a liability duration of 3.2 years. This bank h...

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