# of futures contract required
Usually in calculating the # of futures required to decrease/increase duration of a bond or bond portfolio, the DD (Dollar Duration) is assumed to be based on 1% change in interest rate. Please advise how to get the answer in following scenario (interest rate will rise 25 basis point).
Kaufman is afraid that interest rate will rise 25 basis point in the near future and would like to decrease the duration of a $40M bond portfolio from 6.3 to 5.0 for a short period of time by using a Treasury bond futures with duration of 4.2, yield beta of 1.1 at a price of $245,000.-(including the multiplier).
Is it that how the interest rate will change (eg.,+2%, -3%, - 25bp, …) is irrelevant ?
Anyone can clarify ?
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