2009 Mock Exam Q 51

I am not sure why the yield beta is not multiplied to calculate the number of contracts needed for heding the liability exposure. the solution set says (6.83-7.33)*450,000,000*0.9177/(6.5*110,425) = 288 based on the information in the case shouldn’t it be (6.83-7.33)*450,000,000*1.12*0.9177/(6.5*110,425) = 322 your help is much appreciated.


Search function, brotha.

thanks a lot brothas…