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6.17. On August 1, a portfolio manager has a bond portfolio worth S10 million. The duration of the portfolio in October will he 7.1 years.

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6.17. On August 1, a portfolio manager has a bond portfolio worth S10 million. The duration of the portfolio in October will he 7.1 years. The December Treasury bond futures price is currently 91-12 and the chcapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next 2 months

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