Q 4- For calculation of number of futures contracts- I got confused as to which portfolio I should take into account- original portfolio of 255 M with D of 6.25 or the levered portfolio- of 310 M with D of 5.82? Looking at the answer i see that it was original but on exam how would you know?
read the question clearly and it should state what is required.
I did not find it anywhere
The levered portfolio has to do with the Repo. For the interest rate futures contract, it says right in the case “If the repo agreement is NOT entered into,”. i.e. use the original portfolio value and duration.