Current location - Trademark Inquiry Complete Network - Futures platform - If the revised duration of national debt is 3.5, the value is 103 yuan, the revised duration of CTD bond is 4.5, and the net price of futures is 98 yuan, the hedging ratio is ().
If the revised duration of national debt is 3.5, the value is 103 yuan, the revised duration of CTD bond is 4.5, and the net price of futures is 98 yuan, the hedging ratio is ().
Answer: b
According to the formula of hedging ratio, the hedging ratio = (revised term of the hedged bond × bond value) revised term of CTD × futures contract value). The hedging ratio in question = (3.5x103)/(4.5x98) = 0.8175.