In your portfolio you have $1 million of 20 year, 8 5/8 perc…
In your portfolio you have $1 million of 20 year, 8 5/8 percent bonds which are selling at 83 15/32 against this position. Because you feel interest rates will rise you sell 10 bond futures at 81 15/32 against this position. Two months later you decide to close your position. The bonds have fallen to 78 and the futures contracts are at 75 /32. Disregarding margin and transaction costs, what is your gain or loss?