On August 1 a portfolio manager has a bond portfolio worth $10 million. The duration of the

Question:

On August 1 a manager has a bond worth $10 million. The duration of the in October will be 7.1 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the manager immunize the against changes in interest rates over the next two months?
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...