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A bond portfolio valued at $ 1 0 million on August 1 is projected to have a duration of 5 . 9 years in October.
A bond portfolio valued at $ million on August is projected to have a duration of years in October. Given a December Treasury bond futures price of and the cheapesttodeliver bond's duration of years at maturity, how can the portfolio manager mitigate interest rate risk over the next two months using Treasury bond futures?
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