The Duration of an Interest Rate Futures Contract Is Equal

question 72

Multiple Choice

The duration of an interest rate futures contract is equal to the summation of which of the following?
I. duration of the instrument most likely to be used as a cross-hedge
II. duration of the underlying instrument
III. initial length of time of the futures contract
IV. time remaining on the futures contract

• A)II only
• B)I and II only
• C)I and III only
• D)II and III only
• E)II and IV only

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