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Consider a portfolio with a market value of $50 million and a modified duration of 7 years. Its manager wants to achieve a modified duration
Consider a portfolio with a market value of $50 million and a modified duration of 7 years. Its manager wants to achieve a modified duration of 5 years by using a swap with a modified duration of 3 years. What position should the manager take in the swap?
Question 8 options:
| Notional principal of $16,666,667, fixed-rate receiver |
| Notional principal of $16,666,667, fixed-rate payer |
| Notional principal of $33,333,333, fixed-rate receiver |
| Notional principal of $33,333,333, fixed-rate payer |
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