Consider the portfolio in Exhibit 26-3. Suppose that the dollar duration of the 5-year Treasury…

Consider the portfolio in Exhibit 26-3. Suppose that the dollar duration of the 5-year Treasury note futures contract is $5,022.

a. What position would a portfolio manager have to take in the contract to obtain portfolio duration of 4?

b. What is the market value of the position that the portfolio manager must take?

 

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