Require calculations with justification of the chosen rates/percentages and formulae used.
(Not sure of the word count for this, so if works out more than 275 words please contact to confirm).
Question 1:
The asset manager wants to fully hedge the interest rate risk of the bond by using bond futures. Calculate the appropriate number of bond futures that should be sold. (bond future data can be found at www.eurexchange.com)
Data:
Notional/Amount = eur 1,000,000
Security = Schatz
Term = 2 year on-the-run
