Based on the Price Sensitivity Hedge Ratio Approach, What Is

question 37

Multiple Choice

Based on the price sensitivity hedge ratio approach, what is the optimal number of futures contracts to deploy, given the following information. The yield beta is 0.65, the present value of a basis point change for the underlying bond portfolio is $33,000, and the present value of a basis point change for the bond futures contract is $325. (Select the closest answer.)

• A) long 100 futures contracts
• B) long 55 futures contracts
• C) short 66 futures contracts
• D) short 22 futures contracts
• E) short 11 futures contracts

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A data type in programming that is used to represent decimal numbers with double precision floating-point format.

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It is a logical operator used in programming languages to combine two or more conditions. It returns true if at least one condition is true.

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A unary operator used in many programming languages to invert the truth value of a boolean expression.

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