Kamiko Watanabe Case Scenario (Derivatives) CFAI Topic test
did someone this topic test?
[question removed by moderator]
In the solutions, when the number of bond futures is calculated it takes the target beta (cash) as 0.25 (which is in line with the assumption that cash as a duration of 0.25). But then, when calculatiing the number of equity futures to buy, the current beta (cash) is taken as 0.
Why this? shouldn’t be consistent with the first question and take as current beta for cash 0.25 as well?
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