The Duration of the Futures Contract Used in the Price

question 11

Multiple Choice

The duration of the futures contract used in the price sensitivity hedge ratio is

• A)the duration of the spot bond being hedged using the futures price instead of the spot price
• B)the duration of the deliverable bond using the spot price
• C)the duration of the deliverable bond using the futures price
• D)the duration of the overall bond portfolio
• E)none of the above

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Definitions:

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The anticipated levels of achievement or outcomes that an individual or entity aims to reach moving forward.

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The quality and quantity of tasks accomplished by an employee as measured against predetermined standards or objectives.