The duration of an interest rate futures contract is equal to the summation of which of the following?
I. duration of the instrument most likely to be used as a cross-hedge
II. duration of the underlying instrument
III. initial length of time of the futures contract
IV. time remaining on the futures contract
A) II only
B) I and II only
C) I and III only
D) II and III only
E) II and IV only
Correct Answer:
Verified
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