Problem $5.(5$ pts$)$

modified dumanaging a bond

futures conturation of $7\mathrm{.}9.$ Groportfolio

Price $=98\mathrm{.}024$ the $10-$year futurt to he the the interest of $$100,000,000.$ The portfolio has a

contract size ${?}^{024}($per $$100$ par amount$)$

Modified $$100,000$ par amount

$c_{\text{a}\text{l}\text{o}}$ culate duration $=8\mathrm{.}5$

contract has the following risk of his por

$9$

olio by selling bond