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Determine the optimal hedge ratio for Treasury bonds worth $1,000,000 with a duration of 11.72, yielding 11.9 percent if the futures has a price of

Determine the optimal hedge ratio for Treasury bonds worth $1,000,000 with a duration of 11.72, yielding 11.9 percent if the futures has a price of $90,000, a duration of 8.5 years and an implied yield of 9.5 percent.

a. -15

b. -16

c . -7

d. -11

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