You Hold a Bond Portfolio Worth $10 Million and a Modified

question 24

Multiple Choice

You hold a bond portfolio worth $10 million and a modified duration of 8.5.What futures transaction would you do to raise the duration to 10 if the futures price is $93,000 and its implied modified duration is 9.25? Round up to the nearest whole contract.

• A)buy 109 contracts
• B)buy 17 contracts
• C)buy 669 contracts
• D)sell 100 contracts
• E)sell 669 contracts

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Definitions:

Reinforcement

In behavioral psychology, a consequence applied to an organism's environment that increases the likelihood of that organism repeating the associated behavior in the future.

Shaping Behavior

A method of positive reinforcement of behaviors that are successively closer to the desired behavior, used in behavior modification programs.

Positive Reinforcers

Stimuli that, when introduced following a behavior, increase the likelihood of that behavior being repeated in the future.

Psychologists

Professionals specialized in the study of the mind and behavior, working in various fields such as clinical, counseling, educational, and research settings.