CFAI 2013 PM Question 50

@vincentt two forms here

no of contracts = ((target duration – current)* price )/Dollar duration per futures contract

it is same as (((target duration – current)* price )/(duration of CTD bond * Price of CTD)) * CTD conversion factor

@vincentt both formulas are in fixed income reading only. Both are in the same LOS.

in exhibit 2, had the duration of futures contract been given, we can calculate it. In this case since it is not given we can use the cheapest to deliver bond where all details are given

@vincentt‌ we settle all bonds with Cheapest to deliver bonds

(4.25-5.5)/5.3 * (300,000,000/97750) * 1.12 =811 contracts

@vincentt I too didn’t closely notice it until u asked me. When I solved problem, I however used CTD bond and got it right 🙂

@vincentt, can you paste the question, I am not able to lcoate it.

@vincentt @ravivooda I used CTD too. Didn’t notice the futures price distractor.