Current location - Trademark Inquiry Complete Network - Futures platform - The investment manager of an investment bank holds a 3-year bond with a market value of 20 million and a duration of 2.5. At present, CTD bonds of treasury bonds futures in the market are 7-year bonds
The investment manager of an investment bank holds a 3-year bond with a market value of 20 million and a duration of 2.5. At present, CTD bonds of treasury bonds futures in the market are 7-year bonds
The investment manager of an investment bank holds a 3-year bond with a market value of 20 million and a duration of 2.5. At present, CTD bonds of treasury bonds futures in the market are 7-year bonds.
B or c
(MDT-MDC)/MDF× s/f = (0-2.5)/5× (2000/100) =-10, that is,10 bonds were sold;
Beta=0.8 for 5 to 7 years, that is, the fluctuation range of 5-year 10 bonds is 0.8 times that of 7-year CTD bonds, so the 7-year short selling is1000× 0.8 = 8 million.