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A firm has pre sold $ 3 0 0 , 0 0 0 worth of corporate bonds that they have to deliver when the bonds
A firm has pre sold $ worth of corporate bonds that they have to deliver when the bonds are issued in September. The corporate bonds have a duration about twice the duration of the bonds to be delivered in the September Tbond contract, but now they are worried that rates may move against them. How could the firm hedge this risk with futures and how many contracts would it take?
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