A portfolio manager plans to use a Treasury bond futures contract to hedge a bond portfolio over the next three months. The portfolio is worth S100 ln and will have a duration of 4.0 years in three months. The futures price is 122, and each futures contract is on $100,000 face value of bonds. The bond that is expected to be cheapest to deliver will have a duration of 9.0 years at the maturity of the futures contract [5 points] What position in futures contract is required? [5 points] What adjustments to the hedge are necessary if after one month the bond that is expected to be cheapest to deliver changes to one with a duration of seven years? a) b) c [5 points] Suppose that all rates increase over the three months, but long-term rates increase less than short-term and medium-term rates. What is the effect of this on the performance of the hedge